Synthesized from raw financial data, derived data is integral to the bank regulatory submissions and market valuations required by regulators, customers, shareholders, and executives. At Commerzbank, these mission-critical reports incorporate regulatory capital calculations and key risk measures, including value at risk and profit and loss distributions.
Commerzbank’s Group Market Risk Management Team must develop and validate calculations that provide analysts in middle, front, and back offices with reliable derived data. The derived data—which includes curves, such as credit spreads and CDS spreads; implied inflation and interest rates; transition matrices; implied volatility surfaces; and a range of correlations and volatilities—relies on advanced financial algorithms that ensure consistency across asset classes, markets, and time.
To support this requirement, Commerzbank built Market Data Distribution Service (MDDS). MDDS is the primary system at Commerzbank for high-quality validated reference and historical data for risk management, including a MATLAB® based calculation of derived market data.
“With MATLAB, we used the knowledge and expertise in our own department to rapidly build and refine the calculation functionalities of MDDS,” says Julian Zenglein, quantitative analyst at Commerzbank.