Market Risk: Reducing cost of ownership of VaR systems by integrating ActivePivot with proprietary valuation engine.

"Quartet's ActivePivot solution for VaR resolves many key issues we had as it allowed us to properly handle, with large volumes, the non-linear nature of the VaR calculation while providing us a flexible and diverse portfolio view, with drill down, of our market risk data." Head of Market Risk IT, Large European Bank

Current Situation

Our client, a large European bank, has implemented a state-of-the-art Monte Carlo simulation application for Value at Risk (VaR). Their portfolio includes plain vanilla products as well as options, credit derivatives, and hybrid structures. All calculations are deployed on their grid computing architecture in order to complete the process during their overnight batch schedule. All reports are prepared during this overnight process after the grid has updated a database with its results.