OLYMPIC Integration with GAIN Risk Management
Serica Bank implemented GAIN Risk Management in 1999. First, the available functions of GAIN were adapted to the needs of Serica Bank, resulting in an extensive new release. The second objective, the seamless integration with the banking application OLYMPIC of ERI Bancaire, only took some weeks net effort due to the flexible mapping mechanism of GAIN. As part of the package, GAIN also provides an optional interface to the Telekurs VDF feed to automate data import into OLYMPIC.
In 2000, Serica founded its subsidiary Serval Portfolio Consulting that has been using GAIN since then for performance measurement and risk analysis. The successful cooperation between Serval and AIM Software resulted in a fully integrated risk management package with a track record of now 6 years.
Interactive risk management proves beneficial
"Nowadays it is not sufficient to simply calculate risk measures on a server. End users demand an unprecedented degree of interactivity that enables them to move from pure risk analysis to risk control," says Reinhard Matt, managing director of Serval. "GAIN enables us to supervise portfolio strategies based on efficient financial analysis and well-founded results."
Over 500 different tables were mapped to instruments covered in GAIN where necessary. Thanks to the flexibility of GAIN to calculate data internally based on given parameters, gaps in the data are filled automatically. On top of that, GAIN implements logic not contained in OLYMPIC and takes care of all necessary data type conversions and the scaling of values.
Plug-in concept reduces integration efforts
The mapping concept of GAIN results in a dynamic interface that is updated whenever changes occur in the underlying banking application. GAIN can plug on to most existing database systems and structures, to cope with incomplete or non-existing APIs of banking solutions.
All necessary information is automatically imported into GAIN Risk Management to avoid manual intervention. For example, transaction data is loaded into GAIN in order to update the portfolio position data. This enhances the performance by caching data in GAIN, only requiring a new import when data has changed in OLYMPIC. Measures available in the banking application, like realised income or accrued interest, are imported in GAIN and re-used in further calculations. This ensures precise results since GAIN does not recalculate what is provided.
Visualization is the key to understanding
GAIN Risk Management enables Serval to calculate risk and performance indicators for market and credit risk, such as the Sharpe ratio and Value-at-Risk. Further options are simulations, stress tests, scenario analysis and back testing. A set of predefined report templates is shipped with GAIN and can easily be customized to the clients' needs in a graphical way.
"The reporting functionalities of GAIN are extremely helpful in explaining risk and performance to our customers," concludes Reinhard Matt. The ongoing development of GAIN Risk Management is the cornerstone for meeting future demands of Serval. This includes support for new instrument types and for Basel II requirements on credit and operational risk.
About Serica Bank und Serval Portfolio Consulting AG
Serica Bank und Serval Portfolio Consulting AG are based in Vaduz, Liechtenstein and offer services to their clients in Private Banking and Portfolio Consulting.