Asset Control has integrated its AC Plus data management platform with MathWorks’ Matlab financial analytics language to bring data and financial models closer together and deliver more robust calculation and validation of risk factor and valuations data.
The integration recognises the use of Matlab by many Asset Control customers and overcomes the need to move data back and forth between the products. It makes master datasets in AC Plus more accessible to users writing models in Matlab and allows compiled code to run within AC Plus, typically in a production environment. It also supports dynamically executed code called from AC Plus that is typically used for ad hoc work or iterative model development directly on top of the data.
The integration adds Matlab to the R and C++ analytical languages that are already tightly integrated with AC Plus, and supports regulations that require closer integration and coordination between data and models.
Steve Wilcockson, industry manager, financial services at MathWorks, explains: “Regulations such as BCBS 239 and the Fundamental Review of the Trading Book (FRTB), and stress tests required by the US Comprehensive Capital and Analysis Review (CCAR), European Banking Authority and Bank of England, place increasing importance on financial modelling working alongside high quality regulatory data. By integrating Matlab with AC Plus, we can support greater robustness, transparency and confidence in this process.”
Martijn Groot, vice president of product management at Asset Control, notes the logistical benefits of having data in one place, including the ability to manage version control and audits of both data and models, and the data governance gain of maintaining data integrity. He expects asset managers to use the integrated solution for asset valuation, to create fair value and to build proxy models for illiquid assets in a portfolio. Banks are expected to use the solution to price complex derivatives and build statistical models for risk management. Early adopters include two banks that are testing the integration of AC Plus and Matlab in their own environments.
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