An extensible SaaS counterparty risk platform startup.
What risk professionals tell us they need
Underlying pricing/risk methodologies that have passed validation muster by numerous banks and non-bank swap dealers subject to strict regulatory model risk management requirements under e.g. Federal Reserve’s SR 11-07 and Prudential Regulation Authority’s CP6-22/PS6-23 model risk management principles for banks
User-friendly interfaces (visual, non-visual)
An innovative Scripted Trade framework to author and describe the payoff of even the most complex financial instruments
Not a “black box” like other vendor systems and can be extensible and customized to precise client requirements
Customisable risk metrics and robust analytics (including regulatory reports)
Provides real-time monitoring and alerts
Integrates easily with data sources including market data (e.g mapping to RIC & BBG codes)
Is scalable and fast
Built-in data security and privacy
Can be customised and extended
Leverages AI to assist with report writing, intepreting data
Why we exist
We believe in challenging the status quo in counterparty credit risk. We believe it can be easier, smarter and faster.
Key element of our underlying software (e.g. QuantLib, Open Risk Engine) is already used at major insitutions in the USA and Europe.
Vannarho provides a secure, cloud-native counterparty credit risk platform to support both Basel's internal model method and standardised methods that solves for major limitations of current platforms e.g.
* Speed: Many large counterparty risk jobs can run for 8 hours or more and can often fail. Also, real time risk analytics for pricing can be delayed by 30 minutes or more.
* Maintainability and Cost: Aging technology sets for counterparty credit risk were not designed for the API-centric, cloud-native world. Access to talent to manage these risk systems is also becoming harder to come by.
* Smarts: Leveraging computing innovations is difficult (e.g. AAD, Multithreading, AI)
Key use cases
1) as a benchmarking tool to facilitate and prototype propriety internal models at large institutions, informing primary model development without “recreating the wheel” for basic model components like discount curve construction and/or risk factor evolution models in exposure simulations
2) as an independent model utilised by local Model Validation teams at large institutions, saving enormous time in preventing one-time/”offline” model creation and/or replication
3) as the primary pricing and risk model for smaller-to-medium-sized institutions lacking either the budget for larger-scale vendor software and/or large development teams to support proprietary internal model development.
Our How
Vannarho leverages the open source community's work on risk analytics and XVA.
We run on Google Cloud Platform but can be configured to operate on your chosen cloud provider.