The system is due to go live within the risk management department in the first quarter.
Bridget Piraino, a vice-president at Asset Control, said the time-series database will also benefit the bank’s trading desk, as traders will evaluate trades based on the level of risk involved.
Initial users will be in the risk management department, but the roll-out will eventually encompass credit and equity derivatives teams as well, said Barry Fenwick, divisional information officer at Wachovia.
AC Plus creates a normalised set of reference prices for risk management purposes.
"[Wachovia is] using it as a pricing system," Piraino said. "It is putting together a repository of data and interfacing to an in-house risk engine. It had a need to create a high-quality data set for risk and to make that available to other users in the investment bank and research team."
The bank will capture data from different data sources including Bloomberg, Reuters and Markit, as well as prices from internal traders and the bank’s multi-year history of more than 100,000 risk factors, including bond prices, interest rates and commodity prices.
Users can then access the repository or risk engine directly or via an API using the bank’s wide-area network, Piraino said.
Fenwick said AC Plus replaces an in-house developed solution.
The week in Risk.net, May 19-25 2017Receive this by email