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FREE EVENT: QCon in Finance eXchange: Dominique Delarue on Enterprise Computing at BNP Paribas
Enterprise Computing at BNP Paribas
Developing and Running the Market Risk System at one of the world's largest banks: an architectural overview.

The Market Risk System at BNP Paribas is a global system for calculating the market risk of all trading activities at the bank. This talk will describe how we solve the architectural problems in providing large amounts of market risk data to a global user base within a single integrated solution.

The presentation also focuses on the data storage architecture and the methods used to load large volumes of data whilst simultaneuosly providing analysis and drill-down capabilities on this same data.

Review:
Dominique Delarue, the functional architect of Market & Liquidity Risk for BNP Paribas Investment Bank talks about architectural challenges faced during development of the market risk system at BNP Paribas. He also covers the data loading architecture of the system.

The BNP Paribas system currently processes 200,000,000 positions a day. It is used for calculating future risk based on currently available data. The risk is measured by calculating the Value at Risk (VaR). Architectural issues are categorised into 9 sections. These issues and system components are managed with a heat map.

The system processes 80GB of complex and diverse input data each day. Event-driven processing and continuous batching are used for processing data. Messages are also important in providing an event driven application. In this way, data can be fed continuously, the load can be spread throughout the day, and the system is finer grained. Users can define their own screens quickly with a scripting language and make their own queries in a scripting fashion. They can run queries even while the Sybase data warehouse is updating. The software is developed with C++ and Java. Spring, Mule, and ActiveMQ are some of the specific tools used for the project.

The application is planned to be transformed to a data grid application for spreading the information load across many servers whilst providing continuous availability.
Review by Eren Aykin
Download the slides here

ABOUT DOMINIQUE DELARUE
Dominique Delarue joined the Fixed Income department of BNP Paribas in 2001 to work on an eTrading system. He then joined Market Risk where he has worked on all aspects of the applications (risk, limit, stress, var...) since 2003. Over the past 3 y
More about Dominique Delarue
PODCAST ENTERPRISE COMPUTING AT BNP PARIBAS

This session took part at the FREE EVENT: QCon in Finance eXchange. You can view the other 8 podcasts here.
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