Kakapo Risk is a next generation market risk system. It differs from its competitors by offering advanced features for ad hoc analysis, data management, customer integration and operations management in addition to generating key market risk metrics. Kakapo Risk is a modern system with a polished browser-based graphical user interface that seamlessly and safely integrates into a customer's Windows network. Kakapo Risk has been designed to resolve the perennial problems for effective and accurate market risk calculations: incorrect data, data repair and report re-runs. Kakapo Risk has a fully developed but optional interface to Vector Risk's parallelised and vectorised Vector Risk risk engine, combining robust and very fast database and data marshalling services with high-speed risk calculations. However, clients can choose not to use Vector Risk and use their own risk and pricing engines.
Kakapo is a Microsoft partner and Kakapo Risk is built on core Microsoft technologies. SQL Server is used for all data storage, the user interface is delivered via IIS and the system itself is implemented in C#. The Vector Risk engine, when used, runs on the Microsoft HPC platform and integrates with Kakapo Risk using web services also delivered by IIS.
Minimum Capital Requirements for Market Risk – 2016
The results of the Fundamental Review of the Trading Book (FRTB) undertaken by the Basel Committee on Banking Supervision have now been reflected in BCBS's revised Minimum Capital Requirements for Market Risk. These new requirements loom as a significant hurdle for many banks. We have been tracking this specification throughout its development.
Kakapo Risk required little change to meet the requirements of the new capital standards. While most focus is on the new metrics, principally the revised Standardised and Internal Models approaches, the real bite in the new standard is in the increased qualitative requirements.
Kakapo Risk already has the key qualitative features that will allow a bank to meet the strong new requirements relating to data accuracy, analysis support, speed and pricing. These feature are central to a fully-functional modern market risk system.
Performance is a focus of discussions around the new standard. Kakapo agree that performance is crucial, not simply to meet daily processing requirements, but to support analysis, issue investigation and re-run, all of which are implied by the higher qualitative standards. Kakapo Risk provides high-performance deployment options, including integration with our cloud-based compute service.
Kakapo Risk will encompass the new metrics in the third quarter of 2016.
Why Kakapo Risk?
Kakapo Risk has the features required to meet the increasing sophistication required by the world's regulators. Risk professionals need a system that is fully featured and flexible to use, offering such things as multiple hierarchies, ad hoc analysis, replay of reports, Excel integration and flexibility in defining reports. Internal system support teams need a system that they can progressively and safely roll-out, one that can integrate easily into their existing infrastructure and one that has a host of scripting support so it can be fully automated.
Kakapo Risk provides all these features and more.
The Highlights
Kakapo Risk is a high-speed, scalable enterprise scale system. It features a modern browser-based user interface making it easy to use its sophisticated features.
- high-speed and scalable.
- Modern browser-based user interface.
- Sophisticated user analysis features including multiple and dynamic hierarchies, first-class time series support and ad hoc analysis configuration and execution.
- Powerful and secure data management and editing features.
- Easy-to-use operational management features to support multiple regions and report re-runs.
- Seamless integration into a customer's domain security combined with fine-grained user control.
Risk Analysis
Kakapo Risk has a host of features that aid analysis. An important aspect that supports any analysis activity is speed—Kakapo Risk is fast.
- Kakapo Risk supports ad hoc analysis: an analysis can be set-up and executed by any authorised user, with advanced support for setting run parameters.
- Drill-down details are available for each node at a click of a button.
- All analysis data can be user-configured including the selection of portfolios, analysis parameters and even the versions of data to be used.
- Kakapo Risk supports the dynamic creation and representation of multiple hierarchies. This allows different risk aggregation and roll-up.
- Batch analytics results are properly treated as a time series and the time series can be easily displayed.
- Correctness is designed in. Analysis execution patterns ensure that all required data is available, and, where not, appropriate action is taken.
Kakapo Risk presents as a sophisticated user interface based in the browser.
- Browser-based GUI application with drag and drop and other "rich" GUI features.
- User "views" of report metrics are fully customisable allowing selection of individual metrics from any report.
- Multiple user defined "views" that can be shared or made private.
- Excel integration so displayed data can be immediately exported.
- Collapsible panels showing report or analysis details such as history set dates, run dates, and portfolio definitions.
- Single click access to drill-down information.
Kakapo Risk comes standard with strong support for interest rates, foreign exchange and equities. It is a key strength of Kakapo Risk that new products and market data types can be quickly added to the system. Current analyses are provided via integration with the Vector Risk engine, which is owned and supported by Vector Risk.
- Historical VaR with full control of quantile estimation, VaR calculation and VaR confidence plus hypothetical P&L analysis.
- Stress test support that supports user customisation.
- Historical VaR with full control of quantile estimation, VaR calculation and VaR confidence. Detailed VaR vector information is available.
- Hypothetical P&L designed to match the VaR model.
- Designed to be easily extended for new instruments, new asset classes and corresponding market data.
- New FRTB-specific calculations for internal model and standardised approaches will be available in 2016.
Operational Support
Kakapo Risk has an advanced "Report Workflow" feature that ensures batch reports are run when required. Kakapo Risk detects changes in the underlying data to identify when reports need to be re-run and advises users browsing report data if updated data is available.
- Kakapo Risk's report workflow creates, checks, runs, re-runs, and closes reports—key is that Kakapo Risk knows when reports can and should be run.
- Report workflow is supported by a full set of scripting commands allowing execution as well as status checking of the report batches.
- Report batches can be set up at any time.
- Report workflow operations—like all operations—are subject to user access controls.
- Out-of-date report results are automatically versioned and always available to the end user.
- Reports exist as a time series, with time series functions available to the end user.
Kakapo Risk has features designed to control and manage operational tasks. The concepts of "events", "regions", "region parameters" and "snapshots" drive Kakapo Risk's operations. The Operations Manager is a sophisticated interface that allows a user to monitor operational activity and manipulate data when required, for example to effect data repair and report batch re-run.
- Strong scripting support exists to generate events and snapshots that support automated activities such as end-of-day.
- Snapshots of data allow stable and consistent processing. For example, end-of-day processing will use the same data version throughout the run even if the database is active.
- Multiple regions are supported. Each region has its own events and region parameters.
- Multiple "ratesets" allow different regions to use different rates and types of rates.
- The Operations Manager is a sophisticated interface for managing data branching, event updating and export processes. These features combine to provide unprecedented user control of the data repair, reload, report re-run and re-publish process.
Kakapo Risk has a particularly sophisticated scheme for managing data. The key features are "versioning" and "branching" of data. All data updates are versioned so that they can be recovered should they be required. This concept is coupled with the idea of branching, where the data as at a certain point (revision) can be branched and then amended such that the amendments are only seen on the branch. This crucial feature supports repairing data in the past without corrupting the history of the data.
- All versions of the same trade can be identified and safely edited with the Trade Browser.
- The Trade Browser supports viewing multiple versions of the same trade simultaneously.
- Scripting commands are version and branch aware—for example, incorrect trade data can be repaired as at a week ago and reports re-run without affecting current data.
- Virtually all data is versioned. This includes trade data, market data, market data engine assignment data, view data and a host of other data types.
Technology
Kakapo Risk is highly extensible in a number of dimensions, including the addition of new products, market data types, analyses, drill-down export details and custom import and export processes.
- Stress tests have strong support for customisation of the stressing algorithms. The customisation can leverage built-in support for management of arbitrary tables of configuration data.
- Customers can extend the system to add new trade types and new market data types through plug-ins (without recourse to Kakapo).
- The format of drill-down information can be customised and added to. Customers can have multiple drill-down formats and choose which to use.
- Kakapo Risk has the concept of customisable "market data assignment engines". These support customers' specific requirements for market data assignment including valuation and analysis assignment.
- Kakapo Risk has support for integrating customer pricing and risk engines.
Kakapo Risk is a robust, enterprise-scale system running on Microsoft's Windows Server platform. A number of features combine to ensure not only exceptional performance, but also a high-level of fault-tolerance and diagnostic support.
- Kakapo Risk's service-oriented architecture is horizontally scalable, with services able to be spread across a number of physical servers.
- Kakapo Risk is designed to cope with large volumes of data, with efficient "pipelining" of data to ensure maximum throughput as data is retrieved, marshalled and sent to the Risk Engine for analysis.
- Configurable logging and carefully planned exception management ensure that processing problems are handled by the system where possible, but escalated to the client's staff when appropriate.
- The Vector Risk engine, when used, provides extremely fast analysis through its highly vectorised and parallelised code deployed within Microsoft's HPC framework.
- Analysis computation may be offloaded to Kakapo's cloud-based compute service, reducing onsite deployment requirements and providing banks access to the advantages of cloud software services.
Kakapo Risk has been designed to integrate easily into a customer's existing market risk system topology.
- Seamless integration with existing Windows domains for authentication.
- Full scripting support to merge end-of-day tasks into existing job control.
- Report status reporting to allow automated monitoring.
- A plug-in architecture to natively cope with customers input and out formats.
- Parameter driven report workflow to ensure analytics configurations match legacy ones.
- Kakapo Risk can integrate with a customer's existing pricing or risk engine.