AFTAs 2017: Best Analytics Initiative—Credit Suisse

The platform has over 100 models representing over 90 percent of Credit Suisse’s revenue within the Intermediate Holding Company (IHC).

2017 AFTAs

One firm that appears to be leading that charge is Swiss investment bank Credit Suisse, which wins this year’s AFTA for the best analytics initiative, thanks to its capital stress-testing, financial planning and forecasting platform, dubbed ProPL, an abbreviation of its official name: Projections Platform. As part of the bank’s comprehensive capital analysis and review (CCAR) stress-testing program, it needed to develop a platform for managing the front-to-back execution of capital projection models.

Early in 2017, Credit Suisse successfully filed for a US patent for the platform, an offering that seeks to improve the bank’s ability to forecast pre-provision net revenue (PPNR), balance sheet, risk-weighted assets (RWA), losses, and other key financial metrics for each area of the business. According to the bank, “these forward-looking capital projections are based on data-driven models that consider the impact of multiple financial and economic variables over an extended period of time. Projection results inform strategic business planning by providing a capital adequacy assessment using defendable, repeatable and quantitative processes.”

ProPL sources over 100 data feeds from across the organization and tracks and tags all incoming data assets, which helps with BCBS 239 compliance and provides data quality checks and reports. It also houses and conducts the execution of the firm’s capital projection models, automatically resolves the dependencies between models and sequences their execution accordingly. The architecture that ProPL is built on is scalable so that any calculation produced can be traced back to the exact set of models used and their precise configuration at the time, along with every data input, model parameter, output adjustment, and overlay applied. 

The platform has over 100 models representing over 90 percent of Credit Suisse’s revenue within the Intermediate Holding Company (IHC). CCAR submissions, which typically take two to three weeks to run, can be executed in under 30 minutes, according to the bank.

Last year this category was split into two separate categories, with Morgan Stanley taking the award for the sell side, while JPMorgan Asset Management won the buy-side award. 

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@waterstechnology.com or view our subscription options here: http://subscriptions.waterstechnology.com/subscribe

You are currently unable to copy this content. Please contact info@waterstechnology.com to find out more.

S&P Global’s EDM platform continues its evolutionary course

S&P Global Market Intelligence won the Best buy-side data management product category at the Buy-Side Technology Awards 2023 thanks to its successful EDM offering. Neslihan Yegul, Emea head of commercial strategy for software solutions at S&P GMI,…

You need to sign in to use this feature. If you don’t have a WatersTechnology account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here