luxoft software development

1. For more information about Luxoft, visit
www.luxoft.com
www.luxoft.com/financial-services/
case study
Aligned Risk Technology
Reporting System
Summary
13.09.2012
Develop an integrated platform for credit risk calculations that comply
with regulatory reporting requirements.
uu Client: A top ten global investment bank
uu Business Area: Global credit risk
uu Asset Classes: Equities, fixed income, derivatives
uu Technology Set: Oracle, SAS, Data Warehousing (DWH), ETL,
Microstrategy, J2EE, EJB, Struts, GWT, Spring, Hibernate
uu Integration: 20+ data providers in the bank
(credits, ratings, counterparties etc.)
uu User Profile: Global Credit Risk Department, 100+ users
uu Geography: Global
uu Relationships Status: Ongoing ODC, T&M
uu Services Provided: Full cycle: development, testing, maintenance,
quarterly releases, and production support
uu Team Size: 17+
uu Duration: 2+ years

2. Business Challenge
Luxoft Delivered Solution
Over the past few years, the bank’s credit-related data warehouse (DWH)
had begun to deteriorate in both performance and capacity as data volume
increased and numerous regulatory enhancements were applied. The
existing software development vendor was unable to meet the business
and technical needs for the system, which performed the business-critical
functions of credit risk calculation and disclosure reporting to comply with
KWG (Kreditwesengesetz, Banking Act of the Federal Republic of Germany)
and Basel II requirements. The bank’s main objectives to upgrade the credit
data warehouse were:
uu Reduce costs by streamlining calculation and reporting functions,
removing redundant and segregated processes, and optimizing the
workflow.
uu Implement all revisions needed for regulatory compliance with risk
disclosure reporting.
uu Improve performance and accuracy by integrating functional processes
and reducing the processing time.
uu Improve regulatory compliance by increasing transparency and
timeliness in reporting.
uu Restore system availability and reliability.
Luxoft was selected to replace the bank’s software development vendor,
taking over all the aspects of the project including development,
maintenance, and on-call support. To address the critical requirements of
cost reduction, performance, accuracy, and timeliness; the Luxoft team
developed a framework for multiple instances of a single code base. The
main components of the system include:
uu Oracle® database
The data warehouse holds detailed information from operational
systems on the status of contracts and products; the results of Monte
Carlo simulation for the probability of default for each contract; and
contractor information such as ratings from internal and international
agencies. The data warehouse is organized relationally by contract or
product and supports daily traffic of about 130 gigabytes with a total
storage capacity of more than 15 terabytes.
02Luxoft - Case Study

3. uu Base SAS® for risk calculation and reporting
The Risk Calculator analyzes products, countries, counterparties, netting
of contracts, and the distribution of provision between contracts to
assess risk. Because regulatory requirements can vary, all calculation
processes operate under a set of customizable business rules and risk
indices are computed separately for each Basel II approach: Standard,
Foundation and Advanced. The aggregated results and calculated risk
indicators (including economic capital and its distribution between
contracts) are star-ranked and stored to support reporting.
uu J2EE enterprise platform for data maintenance web applications
Web-based applications provide functionality to correct invalid data or
to adjust reporting input data. Because the data is relationally organized
by contract or product, corrections are quickly applied without having to
recalculate the total volume of data.
uu MicroStrategy® business intelligence report generation and delivery
services.
Figure 1:
Risk Report-
ing Strategic
Approach—One
Code Base, Mul-
tiple Instances
03Luxoft - Case Study
FINANCIAL DATA
CONSOLIDATION
LAYER
NON GCDS
DAILY STATIC
DATA
DAILY FEEDS
FTP
MONTHLY
BACKFILL
DAILY REPORTS
KWG 13, RWA
WEEKLY REPORTS
FLASH RWA, EPE
MONTHLY REPORTS
KWG 13, KWG 14, RWA
REPORTING
CALCULATE
MONTHLY
WEEKLY
DAILY
COLLECT REPORT

4. Customer Feedback
Detailed feedback is available on request.
04Luxoft - Case Study
Benefits
The Luxoft team developed a communication plan with the bank’s
Global Credit Risk Reporting department that allowed them to acquire
the knowledge base they needed to quickly restore system stability and
improve performance. In addition, system enhancements increased
significantly over the previous year. Luxoft’s solutions provided the bank
with the following benefits:
uu Risk calculation performance increased by 33%
uu The time needed to generate regulatory reports was reduced from hours
to seconds
uu Operational and future development costs were greatly reduced with
the improved system framework
uu Full compliance with KWG and Basel II regulations as a result of system
enhancements and innovations developed by Luxoft

5. About luxoft
Luxoft, a principal subsidiary of IBS Group, is a provider of advanced
application and software engineering outsourcing services for global and
regional enterprises. Luxoft builds partnerships with its clients, such as
Boeing, IBM, Deutsche Bank, UBS, Harman, Avaya, Alstom, and Sabre, based
on the culture of engineering excellence, innovation, and deep domain
expertise. Luxoft offers international delivery capability through its network
of state-of-the-art delivery centers in North America, Eastern Europe, and
Asia. Luxoft`s customers benefit from the right mix of technology skills,
industry knowledge, proprietary processes and methodologies, and a
choice of engagement models.
For more information about Luxoft, visit
www.luxoft.com
www.luxoft.com/financial-services/
© 2012 Luxoft