Calyon Gives Traders Excel-based Risk Management for Commodity Exotics

Calyon, the corporate and investment banking subsidiary of Credit Agricole S.A., is using ActivePilot from Quartet Financial Systems to monitor its commodity exotics intra-day risk in real time. Active Pivot has been integrated with Calyon’s in-house pricing and risk management application, AsteRisk, and enables traders to aggregate risk along multi-dimensional axes to efficiently manage intra-day risk.

The implementation of ActivePivot enables traders to use Microsoft Excel, with which they are familiar, to flexibly slice and dice real-time risk data any way they want to see it. This is a major advantage over the ad-hoc spreadsheet approach that was in place before ActivePivot was implemented, which had been costly and time-consuming.

“In order to better react to the fast changing requirements of the commodities market, especially for structured products, Calyon decided to build, rather than buy, an exotic commodities trading platform. ActivePivot complemented our development and enabled us to shorten the time to market – an important goal of our overall project, as you can imagine,” said Benoit Gautier, head of commodities IT exotics projects at Calyon.

ActivePivot is a real-time, object-oriented OLAP (online analytical processing) tool that aggregates and applies business methods to any data, in any format. As ActivePivot is a true service-oriented architecture component and completely open, it imbedded seamlessly into Calyon’s existing infrastructure and in-house trading application. It also allowed Calyon to leverage their investment in data caching and grid infrastructures already in place, such as GigaSpaces and DataSynapse (both of which are Microsoft partners).

ActivePivot enabled Calyon’s commodity traders to perform risk reporting and business intelligence analysis in real-time. The ActivePivot OLAP engine also enabled them to drill down from a global position to individual risk classes and maturities, a key feature in the commodities markets.

A cost reduction will come from the re-use of the ActivePivot component for other business intelligence requirements at a later date, such as Value-at-Risk (VaR) and cash flow management.