Crédit Suisse Taps Fame For Central Historical Time-Series Data Server

TECHNOLOGY & INTEGRATION

Credit Suisse is implementing Fame Information Services' time-series database product at its Zurich headquarters.

Fame will be used to supply historical market data to other components of a cross-product risk management system covering Crédit Suisse's entire global treasury operations.

Erwin Martens, Crédit Suisse's head of global market risk management services, was unable to comment by RMO's press time.

However, a source close to the rollout says the bank started work on its risk project in autumn of last year.

It is scheduled to go live this summer and will be used for both internal risk management and external regulatory reporting, says the source.

Crédit Suisse's treasury deals primarily in currency and money market instruments. "That's what the main focus for this risk management operation is on, although it is obviously going to expand to other instruments," says the source.

This source adds that Fame's role in the Crédit Suisse project is to store historical time series data on a central server based in Zurich.

"It is clearly a benefit to have everyone generating reports off the same prices," says the source.

Caching such historical data in one location also makes it easier for the bank to administer and maintain its time-series, this source adds.

Global rollout

In addition to the Zurich-based Fame server, Crédit Suisse's new risk project will include rollouts to London, New York, Frankfurt, Singapore, Tokyo and one site in Australia.

Sources add that this project is exclusively for Crédit Suisse and will not affect the bank's two subsidiaries: New York-based Credit Suisse First Boston and London-based Credit Suisse Financial Products.

The architecture of Crédit Suisse's new risk system includes Sun Microsystems servers linked to client workstations and PCs via an assortment of local and wide area networks.

Sources say the bank's technology staff have already linked Fame to its Sybase relational database.

As the project proceeds, the source says the bank will link it to both Microsoft's Access database and New York-based Summit System's software.

Sources say Summit is used by the bank to calculate zero and yield curve values from bond prices held in Fame. These calculated curve values will then be returned to Fame for central storage.

Fame extension

Fame's participation in this project is an extension of the vendor's incumbency at Crédit Suisse, sources say.

The bank uses Fame to store historical market data supplied by DRI McGraw Hill and other market data vendors.

Ian Gordon, Fame's vice president of sales for Europe and Asia, says Fame's dedicated time-series warehouse offers advantages over off-the-shelf software such as relational databases or spreadsheet programs.

In particular, matrix calculations involving volatility/correlation coefficients are too complex to be effectively processed by standard relational databases such as Sybase, says Gordon.

While they decline to comment on the Crédit Suisse project at this time, sources at New York-based Fusion Systems Group confirm that the consultancy house is involved with aspects of the bank's risk management project in Zurich.

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