Front Office Risk Analytics
Citi
The bank needed one platform to ingest trade, risk and market data across several trading businesses and produce aggregations the front office could use intraday, rather than separate reporting per desk.
Scope of work
Single pipeline designed to serve several desks, with market risk and trade data modelled across the covered businesses.
Coordinated ingestion of trade, risk and market data, with API-based loading and coordination across source systems.
Aggregations on three cycles, each matched to how a different user group works:
- End-of-day, for the formal reporting cycle
- Intraday, for position management
- Near-real-time, for the front office
Progressive rollout across FX and options, rates and commodities, business by business rather than through a single cutover.
Technology stack of SQL Server, Analysis Services and .NET, established as one of the bank's primary risk data platforms.
Outcome and value
- One platform serving FX, rates and commodities in place of separate reporting per business.
- Views at the frequency each user group needs.
- Recognition internally as among the bank's most successful risk data management builds.