FRTB management solution of the year: ActiveViam

Asia Risk Awards 2021

Colleen Cosgrove, ActiveViam

In the aftermath of the global financial crisis, the banking industry is dealing with more stringent risk capital requirements that demand agility, flexibility, speed and ease of communication across traditionally siloed departments.

Complex regulatory requirements, such as the Fundamental Review of the Trading Book (FRTB), have led to financial institutions needing risk analytics tools that perform non-linear equations on fast-moving data.

ActiveViam helps buy- and sell-side firms solve challenging risk and data analytics problems. It takes a partner approach with clients, using a ‘light touch’ integration method to enhance and upgrade clients’ existing technology instead of ripping and replacing existing technology structures.

ActiveViam’s FRTB Accelerator assists clients with calculating cross-enterprise metrics needed to meet the regulation’s requirements. It conforms to banks’ existing technology architecture and extracts the data needed to perform the necessary calculations.

The solution is an add-on to its signature in-memory data analytics platform and contains pre-packaged but configurable source code for the calculations. The FRTB Accelerator can run the Standardised Approach (SA) or Internal Models Approach (IMA), or both at the same time, within the same platform.

The solution is cloud-native, but can also run on-premises or in a software-as-a-service configuration. The front-end user interface comes with pre-defined dashboards based on the regulatory calculations. These dashboards can also be tailored to a client’s individual needs.

The FRTB Accelerator is used by more than a dozen clients globally, including HSBC, Societe Generale, ING, Santander, Scotiabank, Nomura, CIBC and Mizuho.

In 2020, ActiveViam completed a dozen-and-a-half installations in 12 banks for the SA and the IMA, with some relying on ActiveViam for both.

The FRTB Accelerator is part of a set of solutions dedicated to regulatory compliance, including Accelerators for the standardised approach for counterparty credit risk and credit valuation adjustment risk capital, among others.

ActiveViam’s software uses a hybrid transactional/analytical processing platform, allowing users to perform multi-dimensional calculations at advanced speeds and instantaneously analyse the data as it changes.

ActiveViam’s team of software engineers constantly test and update the product to ensure compatibility and reliability with all regulatory updates. For example, in the last year, ActiveViam released Atoti+, a comprehensive technology package available to financial industry clients and other industries. One of the key features of Atoti+ is the Python API, which enables clients to develop ActiveViam-powered applications in a fraction of the time it takes to do with Java. Atoti+ is designed to power enterprise-wide data analytics.

Colleen Cosgrove, global head of R&D Apps for ActiveViam, tells Asia Risk that by using Atoti+, clients can leverage the new Python APIs to query the FRTB solution and eventually use this to feed external applications or create bespoke reports.

ActiveViam is currently in the process of developing a feature called Direct Query, which will allow clients using the IMA for FRTB to access their data faster as it will be stored at a lower level.

“This feature will give our clients the ability to run their FRTB solution on native cloud storage like Snowflake/Big Query, massively reducing the cost of operating the solution and at the same time maximising the scalability,” says Cosgrove.

Over the next 12 months, ActiveViam is looking to update and enhance its user interface to make it faster and easier to use. Cosgrove adds that ActiveViam will also create a Common Risk Interchange Format file format – the industry template used to hold and exchange sensitivity data – to allow for easier transfer of the hypothetical port exercises for FRTB and other regulations.

ActiveViam has also partnered with the International Swaps and Derivatives Association and has successfully run all of Isda’s benchmarking unit tests for the Basel FRTB SA, ensuring the FRTB Accelerator is in line with the best industry practices. Cosgrove says, this way, ActiveViam can fully support the industry with respect to regulatory compliance.

Its partnership with data warehouse provider Snowflake helps clients streamline their processes and makes it quicker and easier to access their data. Additionally, it has a partnership with risk technology provider Numerix, enabling ActiveViam to deliver solutions adapted for clients with particular requirements, such as global regulators.

ActiveViam has several other partnerships to improve its technology as well as expand its reach. It is working with CGnal, a company that develops machine learning algorithms to extract insights from data, to develop solutions that combine CGnal’s machine learning expertise with ActiveViam’s core technology capabilities.

It has also partnered with Nfq Group, an international firm providing advisory services, solutions and outsourcing in banking, capital markets, risk and insurance, to implement and manage big data and business intelligence projects.

Recently, ActiveViam joined Green RWA – a network of academics, banks, regulators and quants dedicated to supporting solutions for banks – to gauge and manage climate-related financial risk precisely.

One judge said that ActiveViam demonstrates a good approach to solving a very complex issue that requires a lot of data, speed and accuracy to satisfy internal risk management and regulators.