To effectively manage risk in volatile global markets, financial institutions must rapidly adjust their internal financial models. Making these adjustments is impossible without a consistent market and static data repository across all asset classes and a streamlined process for computing derived and synthetic market data.
UniCredit Bank Austria AG used MathWorks tools to develop its market data calculation engine, which computes the near-time and end-of-day derived market data required for market risk and performance management. The MATLAB® based engine is integrated in the bank’s Unified Market Data (UMD) data warehouse and is accessible via the bank’s existing J2EE Web architecture.
“Knowledge of the prevailing market conditions, the models, and the algorithms resides in the business division,” explains Peter W. Schweighofer, senior market risk manager at UniCredit Bank Austria. “With MathWorks tools, the risk managers can develop algorithms and financial models, and the IT division can quickly deploy the applications. Because we can implement changes in our models and get them into production quickly, we can rapidly respond to new market data and conditions.”