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RiskLine
The use of incorrect price information is a major potential risk for financial services providers. For example, when calculating bid prices for investment funds, the use of incorrect price information may pose enormous risks and result in losses. According to our philosophy, the provision of price information takes place centrally in an upstream process.
RiskLine queries price information of different qualities (realtime / delayed / end-of-day) at different data suppliers, checks them for market conformity using various (e.g., statistical) methods and supplies quality-assured price information to the target systems that require it.
The query at the data suppliers occurs at the desired level of data quality and at the time when the target systems need the data for further processing (“just-in-time”). RiskLine allows both the one-time and the frequency-based query of price information. To ensure a high level of automation, RiskLine generates all required price requests independently.
The integration of different data suppliers allows the application of additional methods for quality assurance of the information. Due to the open system architecture, any number of data sources and target systems can be connected to RiskLine.
CENTRALIZED SUPPLY AND VALIDATION OF MARKET DATA
The integration of different data suppliers allows the application of additional methods for quality assurance of the information. Due to the open system architecture, any number of data sources and target systems can be connected to RiskLine.
TYPES OF INSTRUMENTS
- Stocks
- Bonds
- Investments & Equity funds
- Certificates
- Futures
- Options
- Forward exchange rates
- Exchange rates
- Structured products (e.g. ABS, MBS, TBAs)
- Commodities
VALIDATION METHODS
- Validation against other data providers and sources
- Validation against previous day‘s price
- Validation of price changes within the last x-days
- Change with consideration of historical volatilities (dynamic tolerance limits)
- Validation of the price timestamp date/time
- Check for 0-values
- Check for change of provider
- Manual validation
- Overall check of structures (e.g. yield curves)
- Combination of validation methods
Verification of market conformity and fair value check
The verification of transactions for market conformity usually requires actual and quality-assured market data and expertise on the relevant verification methods. With RiskLine transactions can be transferred from the order / trading systems without media and time delays into the system, where the verification of market conformity is largely automated by various methods. RiskLine supports verification of the transaction price against a market price as well as against a fair value calculated by RiskLine or a third-party system.
The following verification methods are supported by the system:
VERIFICATION METHODS
MARKET CHECK
- Stocks
- Bonds (with OTC module)
- Investment funds (ETF)
- Equity warrants
- Certificates
- Futures
- Options
- Currency futures (FX Outright)
- Currency swaps (FX Swap)
- Foreign exchange spots (FX Spot)
FAIR VALUE
- Bonds
- Currency futures (FX Outright)
- Currency swaps (FX Swap)
- Call money
- L&D IAM
- L&D Periodic
- L&D Variable
- Forward Rate Agreement (FRA)
- Interest Rate Swap (IRS)
- Cross Currency Interest Rate Swap (CIRS)
