Nov 16, 2010

In-database Analytics – A path to the future?

Held in New York City on November 2nd and 3rd, the 16th annual flagship conference—Risk USA 2010—provided up-to-the-minute information from leading industry experts and regulators on today’s critical derivative and risk management issues. This year’s event focused on how to navigate the murky waters of the OTC world—including how to best meet forthcoming regulatory, risk and data management challenges.

Panel Discussion: “Garbage in, Garbage out:” Servicing the Data Supply and Analytic Needs for Risk Management”

When it comes to OTC instruments, the lack of accurate and consistent data and analytics within institutions— as well as from institution to institution—can no longer be ignored.  Stepping in to save the day, numerous industry ‘gurus’ contributed to this year’s Risk USA Panel Discussion, “Garbage in, Garbage out:” Servicing the Data Supply and Analytic Needs for Risk Management and addressed some of the key concerns and potential solutions related to this issue.  

Panel members at the roundtable included: 

  • Moderator: Domenic Iannaccone, Director Business Development FSI, SYBASE 
  • Satyam Kancharla, Senior Vice President, Client Solutions Group, NUMERIX 
  •  Saar Golde, PhD, Analytic Solutions Architect, REVOLUTION ANALYTICS  
  •  Stephen Elston PhD, Managing Director, QUANTIA ANALYTICS
  • Marty Williams, Vice President, Reference Data Product Development, INTERACTIVE DATA CORP
  • Frank R. Brown PhD, Former CTO and Chief Quantitative Strategist, EDGETRADE  

The panel kicked-off with a bang. “Occasionally, you get some kind of whacked-out data value that just can’t be right,” quipped Stephen Elston, PhD. But, we all know that it’s not only about data quality—it’s also about data consistency.

Saar Golde, PhD, chimed in, “It may be garbage in, garbage out—but even that would be better than where we are in the industry right now. At least everyone would be using the same garbage.”

A Clear Need for Consistency

Panelists resoundingly agreed: It is clear that we desperately need uniformity of data and analytics from front-to-back office in the OTC universe. Numerix’s own Satyam Kancharla added, “I would certainly echo what Saar said and would add to that. Recently, a large sell-side institution that we visited was using between 12-15 different systems. This just doesn’t work, especially when we consider the new challenges presented by credit and market risk and the issue of correlation in general.”  

Several panelists advocated the use of in-database analytics, where data and analytics would be linked together in a disciplined, deployable and scalable way, with data never leaving the database until results are filtered and processed.  Moderator Iannaccone added, “The in-database analytic model gives you a lot more control.”

Mr. Kancharla further remarked, “The risk landscape is very organic. The industry is on the brink of a generational shift; and, risk needs to be addressed at an institution’s portfolio level. Consistency needs to be not just intra-institution, but also inter-institution.”

“This can be challenging in that OTC instruments are bespoke by their very nature. In the industry, there is a need for standardization. We really lack standards, and spend way too much time doing mapping and reconciliation,” he concluded. Numerix has been working hard to address many of these issues and concerns. “At Numerix, we are developing a common, portable XML deal format that also has the analytics embedded," he added.

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