CCP clearing support product of the year: swissQuant

CleaRisQ is a comprehensive, real-time, data-driven, portfolio value-at-risk (VAR) management system based on filtered historical simulation (FHS), which supports more than 100 million transactions per day. It was developed by swissQuant Group to serve financial market infrastructure (FMI) providers and central counterparties (CCPs). The risk management system was launched in April 2021 at EuroCCP, where it now supports the firm’s pan-European growth strategy by calculating real-time FHS VAR risk on 8 million transactions worth €40 billion per day. This is one of the first successful implementations of an FHS portfolio VAR methodology at a CCP.

CleaRisQ supports the management of end-of-day and intraday margin calls based on real-time calculation of initial margin, variation margin and collateral haircuts. Its customisable portfolio VAR/conditional VAR methodology factors anti-procyclical components and custom add-ons – such as liquidity risk, wrong-way risk and the risk associated with large portfolios – into its real-time, data-driven and data-intensive risk algorithms. Each risk model is highly parameterisable, allowing CCPs to meet their own corporate and regulatory nuances. The result is a far more efficient and effective risk model, which contributes to improved market liquidity and resilience.

CleaRisQ includes comprehensive modules for risk managers, quants and clearing members. The stress-testing module enables CCPs to size their default fund(s) and calculate liquidity requirements. Position drill-down analytics, what-if scenario analysis, backtesting, sensitivity analysis, reverse stress-testing and other modules deliver core CCP risk functions on a single code base. This enables CCPs to reduce systems architecture complexity, operational risk and methodological inconsistencies across the enterprise. CCPs can also expect to implement faster, more agile, risk management processes – which is particularly important during times of market stress – by leveraging CleaRisQ’s real-time risk analytics.

CleaRisQ also serves clearing members. Beyond optimised and robust margining, the system offers clearing members real-time, read-only risk analytics, inclusive of individual positions, and the ability to run CleaRisQ Java libraries on in-house, clearing member applications.

While swissQuant’s risktech culture has been proven in the wealth management industry, with CleaRisQ the firm aims to differentiate itself from other CCP providers by offering a synthesis of advanced mathematical risk modelling with the newest event-based technology.

CleaRisQ is driven by ‘design thinking’, aiming to improve standards in the CCP industry. The adaptability and scalability of this risk system offers established FMI providers a means to consolidate their strategic positioning. For less-established FMI providers, CleaRisQ presents an opportunity to implement futureproof risk models, avoid outdated risk practices, and compete in an increasingly interconnected and international marketplace. Accordingly, CleaRisQ has an evolving role to play in helping FMI providers and CCPs make markets more efficient, more liquid and more resilient.
 

Judges said:

• “Good focus on improving risk management.”
• “Well needed.”
   

Greg Campbell, Head of Capital Markets Technologies at swissQuant, says:

“swissQuant is delighted to receive this award for our CleaRisQ risk engine. We believe the future of financial markets, their effectiveness, efficiency and resilience will in part be defined by implementing more advanced and performant risk models that can be scaled up using advanced technology. CleaRisQ and swissQuant meet this need, and so it is especially relevant to us that this has been recognised by the market and now Risk.net.” 

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