Francesco Vittori, KPMG Luxembourg
KPMG Luxembourg started the development of its risk reporting solution more than eight years ago.
The platform supports the computation of different risk figures including value-at-risk (VaR), conditional VaR, sensitivity analysis, stress testing, and other quantitative measures.
The constantly increasing requirements in terms of new financial, mathematical, and statistical models to be integrated in the platform can be satisfied only by having a flexible, efficient, and safe development lifecycle.
KPMG presents the risk platform architecture and how the quantitative team is integrating new models in the existing architecture.
As a practical example, KPMG showcases how MATLAB®, together with a microservice architecture, can be used to build high-performing, scalable software embedding advanced financial and statistical techniques.