Banking regulations like FRTB and the Fed's CCAR aim to establish a more robust risk management framework for market risk. However, these entail a few orders of magnitude more calculations to address the market requirements. An ideal enterprise risk platform should support multiple asset classes, handle workloads like long running FRTB calculations or stress tests that require throughput at scale as well as latency-sensitive intraday ticking risk for traders. Some complex derivatives and models may require more time to run, resulting in a heterogeneous workload. The platform should also have the ability to handle demand that can vary dynamically - as higher volatility in the markets typically results in more ‘what-if’ scenario analysis-requests from traders.

This talk will outline the principles of a system that can handle such diverse requirements.