Near Real-Time Risk and P&L Platform
Global bank, short-term interest rates
The short-term interest rates business needed end-to-end risk reporting and analysis available through the trading day. ALP delivered the platform jointly with the Microsoft engineering team.
Scope of work
Data modelling for the rates business, with requirements gathered directly from the desk that would use the platform.
Real-time loading through APIs alongside ingestion and ETL from trading systems, so positions and risk stay current through the session.
Load balancing and cube flipping automated, keeping queries available during refresh rather than taking the platform down to update it.
Performance engineering to support up to six hundred concurrent sub-second queries, which is what continuous desk use requires.
End-to-end coverage from ingestion through to reporting and analysis, with risk and P&L presented together.
Outcome and value
- Risk and P&L through the trading day rather than at end of day.
- Concurrent use by the whole desk supported at once.
- Joint delivery with Microsoft, handed to the bank's own teams to run.