For more information about Luxoft, visit
www.luxoft.com
www.luxoft.com/financial-services/
case study
13.09.2012
Risk Trade Profit & Loss System
Summary
Develop a system to monitor risk trade activity, providing real-time profit and loss
(P&L) reporting against the market data for use by the bank’s traders and front
office
uu Client: A top ten global investment bank
uu Business Area: Multi-Asset Class Trading, Risk Management, Front
Office
uu Asset Classes: Equities
uu Technology Set: Oracle, Java, Hibernate, .NET, XML, Proprietary
messaging library
uu Integration: Reuters, data warehouse, single stock and portfolio order
management applications, pricing data system, static data storage
uu User Profile: Traders and sales traders, front office (100+ users)
uu Geography: Europe
uu Relationships Status: Ongoing ODC, T&M
uu Services Provided: Full cycle: Business analysis, Development,
QA/Testing, Maintenance with Production support
uu Team Size: 3 team members
uu Duration: 2+ years
Business Challenge
To increase risk trade profitability and trader performance, the bank began
an initiative to develop a real-time, pre-trade P&L calculation system to
support privileged client requests for equity trading. The high-level business
objectives for the new system included:
uu Increase profitability by calculating P&L against real-time market data for
improved trade analysis
uu Decrease trader bias through systemization of the calculations and
analysis reporting
uu Increase performance by automating the market data feeds
uu Improve organizational efficiency and reduce operational costs through
integration with downstream trading systems
Luxoft Delivered Solution
Luxoft’s development team gathered the business requirements and
replaced the existing MS Access application with a three-tier system
architecture that would support all of the business objectives, as well
as providing an infrastructure for improved stability, performance, and
maintenance. The system developed to calculate risk trade profit and loss
included functionality that exceeded the bank’s minimum requirements.
Luxoft’s system provided the bank with the following key features to
support and enhance their risk trade business:
uu Automated, real-time capture of risk trades for the bank’s clients
uu User interface to manually extend of trade data, if needed
uu On-request calculation of P&L using VWAP data retrieved from the
pricing server
uu Automated calculation of VWAP value estimates for using current market
price
uu Flexible, real-time reporting services for the available trade information
and calculated P&L values
uu Integration with the bank’s upstream and downstream trading systems
uu A robust three-tier application with dynamically updated C#.NET frontend, Java middle-tier, and Oracle database
uu A single sign-on (SSO) security subsystem
Luxoft - Case Study
02
Figure 1:
Risk Trade
P&L System
Architecture
VWAP
DATA FEEDS
DWH
ASSETS,
FX RATES
DB
MIDDLE
TIER
GUI
EXECUTION
EOD
EXTRACTS
Benefits
Luxoft’s solution provided the bank’s risk trade business with the following
benefits:
uu Enhanced trader performance with a robust and flexible analysis and
reporting tool
uu Improved operational efficiency through integration with external
market data and internal bank systems
uu Significantly improved system stability and data integrity
uu Improved system performance to reduce the risks caused by data
processing delays
uu Enhanced security with the introduction of an SSO model
uu Enhance profitability opportunities with real-time, automated reference
data maintenance
Customer Feedback
Detailed feedback is available on request.
Luxoft - Case Study
03
About luxoft
Luxoft, a principal subsidiary of IBS Group, is a provider of advanced
application and software engineering outsourcing services for global and
regional enterprises. Luxoft builds partnerships with its clients, such as
Boeing, IBM, Deutsche Bank, UBS, Harman, Avaya, Alstom, and Sabre, based
on the culture of engineering excellence, innovation, and deep domain
expertise. Luxoft offers international delivery capability through its network
of state-of-the-art delivery centers in North America, Eastern Europe, and
Asia. Luxoft`s customers benefit from the right mix of technology skills,
industry knowledge, proprietary processes and methodologies, and a
choice of engagement models.
For more information about Luxoft, visit
www.luxoft.com
www.luxoft.com/financial-services/
© 2012 Luxoft