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 first launched at EuroCCP in April 2021, where it now supports their pan-European growth strategy by calculating real-time FHS VaR risk on 8 million transactions worth €40Bn 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/CVaR 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 drilldown 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 – 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 FMIs a means to consolidate their strategic positioning. For less established FMIs, CleaRisQ presents an opportunity to implement future-proof 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 FMIs and CCPs make markets more efficient, more liquid, and more resilient.
“Good focus on improving risk management.”
Find out more: For Clearing Houses – swissQuant