DERIVATIVES & RISK

technology

Fuji Bank installs RiskMonitor from Axiom Software Laboratories

FUJI Bank has signed up for RiskMonitor 4.0, an integrated market and credit risk management system developed by New York-based Axiom Software Laboratories. Fuji officials say RiskMonitor will support risk management across the bank’s New York trading operations, including compliance and regulatory reporting functions. Shinji Kimura, assistant vice president of technology at Fuji, says Risk-Monitor will be installed at the New York location in 10 phases over a period of six months. Fuji will then extend the system’s coverage throughout the US, he adds, and may well install RiskMonitor to cover the bank’s global operations.Fuji chose Axiom’s system after a "competitive product evaluation", says Kimura. He declines to name some of the other vendors considered, though other sources say Cats Software’s Carma and Infinity’s Panorama were also examined by the bank.Toru Tanaka, head of risk management at Fuji, says RiskMonitor was selected because of swift and successful integration with the bank’s other systems during the pilot test. RiskMonitor uses data warehousing techniques to collate data from Fuji’s various trading, back office and market data systems, says Alexander Tsigutkin, president of Axiom. The systems works on a near real-time basis, he adds. Kimura lists three trading and processing systems that will feed into RiskMonitor at Fuji. Infinity’s Devon System will provide data from the bank’s cash and interest rate derivatives trading business.An in-house foreign exchange system dubbed FF2 will feed forex information, while an internally developed mainframe application will provide loans data. RiskMonitor will also be linked to market data from Reuters, Dow Jones Markets and Bloomberg.

FEA AND MONIS
For pricing calculations and other risk analytics, Fuji has opted to use analytics from Berkeley, California-based Financial Engineering Association (FEA) and London-based Monis Software. Sources at Fuji add that the bank is currently relying on Microsoft Excel spreadsheets and internally developed add-on components to Devon for its VAR calculations. These ad hoc solutions will be replaced by RiskMonitor, which will run on Sun Microsystems hardware with an underlying Oracle relational database. The bank also uses Microsoft Windows NT-based PCs for its client-side hardware. RiskMonitor is based on proprietary data warehousing techniques developed by Axiom. Vendor Literature describes the system’s warehouse as "a group of interrelated logical databases data marts specifically designed to manage large volumes of financial data".

MULTIPLE APPROACHES
The application’s risk engine can support multiple risk analysis methodologies such as Monte Carlo, historical simulation and volatility/correlation matrices. It also supports back-testing, stress testing and risk aggregation via user-defined hierarchies. Axiom has several other projects in the works, adds Tsigutkin. The vendor is also talking to a few larger risk software developers that are interested in using Axiom’s risk warehousing techniques. He declines to name these vendors, but says they include some of the "larger and more popular" names. Other institutions using Axiom’s RiskMonitor include Swiss Bank Corporation, Bayerische Veirensbank, TransCanada PipeLines and Lehman Brothers.

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