Build data visualization tool for market risk team. The tool should enhance the user understanding of various risk related margin reports. The tool should also provide view on intraday margin calls, position data, backtesting outliers using the end of the day and live data.
Overview
Client:
Large European CCP
Industry:
Risk Management
Services:
Data analytics, Data Visualization
Challenge
The tool runs on big data hive, oracle and .csv files. Gathering and merging data from a variety of sources was a complex task as data is stored in different format with heterogeneous names. Running the tool on large data sets within seconds was a huge challenge
Solution
We built a dynamic, interactive and self-service MicroStrategy dossier to report Margin, P&L, position data and other risk related figures at Portfolio level. This can further be drilled down at position level which present valuable insights using bar graph, line charts, pie chart and heat map. The dossier can automatically be scheduled to refresh every day and pdf export and dossier link can be send to user’s email.
We used below approach for managing the tool’s performance and usuability:
- Using MicroStrategy wrangling features, we extract, transform and load clean data.
- We met the user expectation by loading data in memory cubes for faster performance.
- We also implemented warehouse partition mapping where we sliced the data based on date attribute to point to its
respective PMT tables
