GoldenSource has integrated its Risk Master platform with McObject’s eXtremeDB to deliver an enterprise data management (EDM) solution capable of responding to regulations demanding fast access to vast data volumes. Initial use cases of the integration include compliance with Fundamental Review of the Trading Book (FRTB) regulation and the best execution elements of Markets in Financial Instruments Directive II (MiFID II). The integration also supports tick filtration, allowing users to mine intra-day tick data to generate golden prices.
The company looked at a number of products that could improve its data management performance for regulation and selected McObject’s ultra-high-speed eXtremeDB technology on the basis of its speed and reliability in handling large, complex time series datasets. The database also includes statistical techniques for calculations using time series and tick data.
An early use of eXtremeDB accelerates the FRTB solution based on Risk Master that GoldenSource brought to market late last year. The solution supports both standard and internal model approaches for calculations of market risk capital requirements and reporting as set down in the regulation.
Charlie Browne, head of market data and risk solutions at GoldenSouce, says: “EDM platforms are great for data analysis, but from a performance perspective for regulatory compliance we knew we needed to take a low-latency approach. Regulations such as FRTB require market risk departments to analyse over 10 times more time series market data than before, so a huge amount of processing power will be needed to be compliant. As well as speed and the ability to process large quantities of data, clients require richer datasets for golden price generation, which is what eXtremeDB will help us do outstandingly well.”
As well as supporting FRTB compliance, MiFID II best execution and tick filtration, Browne says the integration framework provides 80% of the data management requirement for compliance with regulation BCBS 239.