2003 C.I.P.A. Winners
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RBC Financial Group
RBC Financial Group's Global Market Risk Management System
Overview RBC's Global Market Risk Management System provides senior management with aggregate measures of RBC's daily exposure to market risk on its trading activities conducted at major trading centres in Toronto, New York, London & Sydney. Objectives RBC's previous market risk system was handling increased volume and could not effectively accommodate new business acquisitions and ongoing legislative changes. The requirement for risk reporting, monitoring and the size of the portfolios has grown significantly. Key objectives of the Global Market Risk System were to:
As a result of these actions, RBC and its customers benefit from more favourable regulatory capital requirements and enhanced risk management. Summary Description RBC is one of an elite group of global financial institutions with the ability to monitor and measure risk across the organization in real time using a centralized data warehouse that can be drilled down to the transaction level. Today RBC Financial Group processes approximately 400,000 trading transactions and performs more than 300 million computations overnight to independently re-assess the market risk on proprietary trading portfolios managed in four major trading centres (including Toronto, New York, London and Sydney). In 2002, RBC introduced a state-of-the-art second-generation Global Market Risk Management System which helped it realize a quantum leap in its capacity to measure total market risk across the organization. This system ensures the organization upholds best practices and exceeds regulatory requirements for effective oversight of its trading operations. It also adds capacity for new business through organic growth and acquisitions and readily lends itself to incremental changes to cover additional products without significant time and capital investments. With actionable data available in real-time, the Global Market Risk Management System can quickly identify and monitor RBC's portfolio risk around the globe on a daily basis. With timely access to actionable data, RBC Financial Group's risk management team can monitor risk as markets move, rather than after market closing. Armed with fresh insights and a constant supply of new information that outlines thousands of daily transactions across the globe, evaluated using thousands of scenarios, risk analysts are able to quickly identify risk pockets under both normal and severe conditions. The infrastructure that supports the Global Market Risk Management System is designed to quickly adapt to rapid change in the financial services landscape as a result of new products and services, new delivery channels and changes in the regulatory environment. The system was developed almost entirely in-house at RBC by project teams that deployed a variety of vendor hardware and software. Innovative Use of Technology Technology as the enabler for integrated enterprise risk management According to RBC, this solution is truly innovative in that it used technology to successfully transform the organization's approach to risk management and equipped RBC with faster and better tools to mitigate risk by leveraging advances in data warehousing and business intelligence solutions. When compared to competitors, it helped position RBC as a leader in the risk management arena. Database Structure The database structure and model was redesigned in order to adopt a data warehouse approach. RBC is one of the few financial institutions in the world that has the capability to provide transaction level market risk reporting through a centralized data warehouse. Analytic Tools New analytic tools for the Global Market Risk Management System allow risk to be aggregated according to trading book, geography and risk type (interest rate risk, equity risk, foreign exchange and commodities). Mapping Tool A new mapping tool was introduced to standardize data input from a variety of sources (i.e. account number defined in a consistent way from all data feeds).
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