Many of the largest buy and sell side capital markets firms rely on 15+ year old systems to value portfolios and evaluate them for market and other risks. These legacy systems are typically built around a relational database, a messaging layer and a fixed compute farm. VaR or stress-based risk reporting generally runs as an overnight batch and takes several hours to execute. As institutions have grown in size, so has the duration, complexity and correlation between various traded instruments. Systems designed a decade and a half ago are struggling to process ever larger amounts of data and associated computational tasks within the deadlines required to support an active trading or market making operation. Heightened regulatory scrutiny on valuation and risk processes has also lowered executive appetite for any instability or delays in risk reporting processes.

Ness has developed a comprehensive solution to lift the limitations and technical debt that plague large risk/valuation platforms. ROCS is a stream computing approach to financial valuation and risk reporting. ROCS uses AWS cloud native technology including Amazon Kinesis Data Analytics, AWS Glue, Amazon Athena, Amazon Redshift, Amazon Redshift Spectrum, and Amazon QuickSight, on commodity hardware and open-source technology to eradicate data and compute bottlenecks. Platforms based on ROCS built for our clients re-use existing code, preserving the enormous investments in proprietary valuation model development. Migrating to the ROCS pattern delivers near-linear scalability for both computational and data processing.

Unlike other transformational programs, ROCS is designed to deliver substantive results within months, rather than years. Many bulge-bracket investment banks and other capital market firms have been burned by prior failed attempts to modernize core risk management systems. The organizational processes to deliver data to these systems and prepare it for analysis are complex. The consumers of analytics from these systems are wide, often including trading, sales, customers, market risk, credit risk, repo desks, stock borrow/loan, group treasury, finance, prime brokerage operations, counterparties, clearing firms, tri-party operations and the list goes on. Firms that are the result of mergers may have multiple systems performing similar functions, sometimes producing different results for identical instruments due to data, modeling discrepancies. Co-ordinating data and acceptance criteria for back-testing and book-lining alone can keep teams busy for months. Our data-first approach is designed to allow ROCS based systems to receive data concurrently without impacting production systems. Our approach reduces risk, delivers intermediate results, and incrementally builds organizational support for the effort among all stakeholders.

An initial discovery, planning and POC engagement requires a team of 3-5 professionals, is executed over 12 weeks and costs roughly 300,000 USD. As part of the initial engagement, the Ness ROCS team will:

• Conduct a readiness assessment for your Cloud and DevOps environments
• Evaluate your existing risk management system
• Define objectives and success criteria for a ROCS based alternative
• Define a target state for your risk modernization program
• Develop a roadmap for a ROCS based solution
• Define a high-level migration path for existing risk models and data
• Identify areas of risk and develop a risk mitigation plan
• Run a proof-of-concept exercise in your environment
• Size infrastructure, and produce initial cost optimization proposal

The outcome is:

• A medium granularity roadmap providing clear line of sight towards a target end-state
• Cost/Benefit analysis of embarking on a refresh
• Key risks to execution are identified along with a mitigation plan

Learn more and see ROCS in action by visiting rocs.ness.com