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Modernizing Risk Management Part 2: Aggregations, Backtesting at Scale and Introducing Alternative Data

Understanding and mitigating risk is at the forefront of any financial services institution. However, as previously discussed in the first blog of this two-part series, banks today are still struggling to keep up with the emerging risks and threats facing their business. Plagued by the limitations of  on-premises infrastructure and legacy technologies, banks until recently have not had the tools to effectively build a modern risk management practice. Luckily, a better alternative exists today based on open-source technologies powered by cloud-native infrastructure. This Modern Risk Management framework  enables intraday views, aggregations on demand and an ability to future proof/scale risk management. In this two-part blog series, we demonstrate how to modernize traditional value-at-risk calculation through the use of Delta Lake, Apache SparkTM and MLflow in order to enable a more agile and forward looking approach to  risk management.