MBS Risk Management System for a Global Bank
PROBLEM:- MBS traders pricing and managing risk using complex spreadsheets
- Use of various pricing and risk management approaches for various product types
- Firm desired a consistent desk-wide risk management approach while allowing some trader-specific practicess
- Time to deployment: urgent
SOLUTION:
- Multi-tiered messaging architecture
- Efficient communication between components running in diverse hardware and software environments
- Leverages existing components for position and trade processing
- Incorporates new components to support desk-level pricing/risk
- Permission model restricts access to authorized personnel
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