Whether you are looking at risk in real time, intraday, end of day, or on a historic basis, this combined platform supports the key functions that make risk analysis much more effective and efficient.

In this webinar, Panopticon's Peter Simpson and Sybase's Dale Stevens and Neil McGovern demonstrate how to configure a platform incorporating the Panopticon EX enterprise application, the Sybase CEP engine and the Sybase IQ column-oriented database to create a fully functional risk analysis system. They also walk through some practical use cases that demonstrate how this flexible platform is adaptable to the needs of very large as well as smaller banks, hedge funds and mutual fund companies. They explain how the Complex Event Processing (CEP) modeling and process workflow operations function in the Aleri system, as well as how Panopticon subscribes to Sybase CEP model streams.

Peter, Dale and Neil cover these topics related to the Sybase CEP Engine:

• Federate multiple disparate pricing and trading feeds.
• Add standing/static data covering book structures, instrument hierarchies, counterparty hierarchies, and more.
• Generate real-time profit & loss (P&L), positions, and exposures across books, desks, asset classes, counterparties, and so on.
• Add trade costings to generate a more accurate real-time P&L.
• Work with short and long positions and perform risk aggregation and netting.
• Work with additive risk figures such as exposure and associated limits.
• Work with Value at Risk (VaR) and associated limits. (Due to their non-additive nature, these limits must be applied separately at every level in the hierarchy.)
• VaR generation using internal calculations or an external grid.
• Generate market risk limit utilization across all hierarchies.
• Generate counterparty risk limit utilization across all hierarchies.

They also demonstrate how to perform the following functions using the Panopticon EX data visualization system:

• Subscribe to real-time risk monitoring streams from Sybase CEP on a total or parameterized basis.
• Display and interact with hierarchies like book structure, asset class & product structure, counterparty structure, geographic, industrial, issuer rating, asset class, and so on.
• Handle non-additive data sets like Value at Risk (VaR) where the aggregates must be retrieved from an external risk calculation engine.
• Dynamically change additive hierarchies and aggregate values based on end-user commands.
• Drill and jump between data dimensions. For example, jump from book to positions to instrument to counterparty.
• Highlight risk limit breaches.

• Visualize trends, clustering, correlations, and outliers.

• Monitor CEP model performance, including queue length, storage growth, CPU utilization, and so on.