Client Case Studies
Credit Derivatives Risk Management
The Customer
The Credit Derivatives department at this leading European bank was a pioneer in creating the market and has won many accolades recognizing their market leadership across all instruments.
The Challenge
With tens of thousands of trades, each with multiple risk metrics across a range of time frames, the task of calculating risk within credit derivative portfolios is hard enough – the task of displaying the results brings further significant challenges. The company has operations in New York, London and Tokyo, and a need to understand at all times the overall exposure and where it is concentrated as risk approval for each new large position is essential for keeping control over exposures. And of course, time is of the essence in trading. Standard rows and columns were not up to the job – they could provide neat summaries or an over-whelming set of detail, but not a good way of presenting both simultaneously and in a timely manner to enable a confident risk decision at market speed.
The Fractal:Edge Solution
A trial was conducted with Fractal:Intelligence on the desks of risk managers in London and New York. Following the initial success of this trial, we deployed Fractal Maps within the browser-delivered risk system provided firm-wide to enable all risk managers to get a complete picture of global risk exposure by book and credit name, leveraging the state-of-the-art risk engine developed in-house.
The Result
The deployment of Fractal Maps within the risk reporting environment has had significant benefits for the credit trading operation:
- Risk managers and traders can now understand at a glance the risk position across multiple dimensions in a way that was not possible before
- This instant and complete understanding provides a fuller picture on which to trade
- The time to understand exposure has been reduced, meaning more effective trading and execution
By moving your mouse over a circle and "hovering" over it (by keeping the mouse still) for a short time, you will see labels appear to show you the titles of the page you are hovering over (at 12 o'clock) and the pages it is linked to.
In addition, the Fractal Map will show a "crumb trail" for the page you are viewing by highlighting the relevant circles in red. The smallest red circle represents the page you are viewing and any "parent" pages higher up in the website structure will also be highlighted red showing you the route you would take to reach the page. Note that the homepage itself is never coloured red in this way.
