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Optimization of VaR Reporting cycle from T+2 to T+1 for a Global Investment Bank

Optimization of VaR Reporting cycle from T+2 to T+1 for a Global Investment Bank


The Client is a leading global Investment Bank with a strong private client franchise. With 80,253 employees across 75 countries, this Fortune 50 Investment Bank provides unparalleled financial services throughout the world. A leader in Germany and Europe, the Bank is powerful and growing in North America, Asia and key emerging markets.

Business Challenges

Founded in 1870, the Bank has grown to become one of the leading global financial services providers today. As its client base and operations expanded across different geographies, the regulatory pressure complicated further. To remain ahead of competition, the real-time calculation of VaR became imminent. In its continual quest for a near real-time VaR, the bank was looking for solutions to cut down the VaR Reporting Cycle time. However, the biggest hurdle in real-time VaR reporting was the delay caused by manual aggregation of VaR figures. The VaR was calculated in multiple disparate systems and the output had to be manually aggregated to arrive at the final VaR.

There were no automated mechanisms in place to achieve this. The manual aggregation of VaR numbers from different systems was done on spreadsheets which did not comply with the regulatory audit guidelines. The transfer of trade position data from the market applications to the position collector was not in sync, as a result of which performance in submission processing was low. The deadlines for submitting VaR reports were constantly missed because of the delay caused by missing incidents. The VaR numbers, as well as Sensitivity reports generated were not accurate either. The Bank wanted to decrease its VaR reporting cycle from T+2 to T+1.

What HCL Did

The HCL team undertook this project aimed at a collaborative effort to study the complete VaR generation cycle, identify and eliminate the inefficiencies while enhancing the current functionality of the VaR generation systems. Under this project, the team re-developed the export management The first step was to overhaul the Position Collector system. The application served as a pre trade processing platform and consolidated the market data and historical data to feed the Risk engine. The team redesigned and coded this application in order to handle the traffic of trade positions data for millions of trades per day more efficiently. Under a 'Book-by-Book' initiative, the file size of position data was decomposed in smaller files which enhanced the speed of transfer from VaR generator to the position collector application. Not only the VaR reporting time line has been reduced through this project but the data quality has also improved since the trades were submitted automatically from market systems. The automation introduced also ensured that the loss of data from various market systems is minimized which resulted in good sensitivity reporting. A utility that polls for VaR report at New York and automatically forwards it to London was also introduced resulting in substantial savings in VaR reporting cycle time. The Client moved closer to the desired T+1 VaR reporting. The automation of stress testing process for Economic Capital calculation further enabled the T+1 reporting. The team is also responsible for providing Production Support, Maintenance and Product Enhancement services for different applications in Market Risk landscape and has achieved 100% compliance consistently.Under another project, the team automated the Economic Capital calculation process, which was done manually on the spreadsheets earlier. Under regulatory pressure, the bank needed to automate the Stress testing process and submit regulatory reports. HCL team understood the templates, drivers and shocking parameters to enable a seamless integration of data fed from different sources. Using historical data, the simulation was achieved for calculation of economic capital.

Value Delivered

  • VaR reporting cycle optimized - from (T+2) to (T+1) cycle
  • Specialized Valuation Models for 400+ product types taking into account 800+ correlated risk factors
  • A ‘What-if’ analysis tool to give valuation for market factors
  • Automated feeds for market data and trade economics
  • Development of Analytics tool, facilitating drill-down from portfolio to trade level VaR


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