ВТБ внедрил новую платформу по оценке рисков брокерских продуктов

The bank continues to develop an automated system for analyzing risks for various trading instruments. The implementation of its own import-independent solution for assessing risk indicators for brokerage products has been completed. The implementation allowed to increase the level of automation of business processes by 1.5 times, as well as expand the possibilities of margin lending and increase the efficiency of investments of the broker's clients.

"In recent years, there has been a steady increase in investors' interest in transactions with securities and derivatives. Clients see this as additional opportunities to preserve and increase savings in addition to bank deposits. The new module allows the bank to quickly respond to changes in market conditions, and accurately assess the risks for both the client and the broker," said Maxim Kondratenko, member of the VTB Bank Management Board.

The new platform "Risk Assessment of Brokerage Business" is included in the system for calculating market risks for trading operations. It allows calculating risk rates for different types of instruments, conducting scenario analysis of the portfolio, assessing potential losses in the implementation of a stress scenario and the need for economic capital. The module is built on a targeted import-independent technology stack.

The transition to the new system allowed to speed up part of the calculation processes and choose more modern risk assessment methods. During the implementation, it was possible to increase the level of automation of business processes by 1.5 times. Due to the new architecture, a system has been developed that quickly calculates the necessary metrics for current models. An optimized methodology has also been implemented, which uses current market information and modern methods for assessing risk indicators. This allowed the bank to offer clients more favorable terms and expand the possibilities of margin lending. Now, clients will be able to work with a larger leverage, that is, acquire more securities on credit.

"The calculation time of risk metrics has been reduced by half, which allows to increase the speed of business decision-making. In addition, the new module allowed to completely switch to an import-substituted product in the processes of calculating the risks of the trading book," shared Nikita Rybchenko, Head of the Department of Technological Development of Bank-wide Systems, Senior Vice President of VTB.