Major Corporate Bank
Scenario
Charteris helped this leading corporate bank to develop a new portfolio modeling system, to allow the bank to meet its regulatory requriements, whilst providing faster access to key management information.
Situation
The client ran a Program Trading System that was implemented within Excel.The spreadsheet based system was slow and cumbersome, had an unacceptable level of inherent risk as formulae could be overwritten, and data could be input incorrectly.
Charteris Role
Charteris was asked to develop and build a Windows solution that would provide portfolio modelling and scenario testing to derive portfolio asset holdings using real time price feeds. The proposed trades then needed to be aggregated into orders, and electronically transmitted to brokers for execution.
Critical success factors were:
- The reduction of risk to an acceptable level of data being mis-keyed and corrupted during the portfolio modelling process.
- The provision of a robust system that could meet the time constraints imposed upon the program trading process
The portfolio data required by the application was automatically downloaded from the mainframe database each night and was placed on a Windows Server using FTP. This information was then loaded into an Oracle database. In parallel, the application also accessed a Novell Netware Server for live stock market price feeds.
Solution
The Charteris solution of providing a system within a secure and scaleable environment not only reduced the client's risk but, as a consequence allowed them to meet internal and external compliance requirements. It also met their objective of modelling their portfolios faster and more accurately, and automating the quote/buy procedure with their brokers.