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An Open Source Architecture for Modernizing Market Risk Management

In today’s environment, financial institutions face challenges that include: * New and more complex calculations due to regulatory demands (i.e., FRTB) and climate risk * Explosive data growth and the need to move and analyze this data * Limited on-premise compute capacity * Need to improve time to value by accelerating model deployment to production To help solve these challenges, Marius Bogoevici and Aric Rosenbaum have worked with industry experts and market leaders to design a forward-thinking, open source solution to better address current challenges and prepare for future needs. Based on real-world use cases, we will show how an open source market and credit risk calculation architectural framework: * Scales risk management by leveraging the hybrid cloud to perform new and more complex calculations in less time at a lower TCO * Accelerates development and deployment of risk models via modern DevSecOps practices * Responds in real-time to market / alternate data via an event driven architecture * Improves risk management by orchestrating and automating the many pre/post-calculation steps * Improves auditability and transparency with flexible rules-based decisioning

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