Sunday, May 1, 2011

one-sentence description of secDB goodness

"The system enables us to take virtually every position we have in the firm and revalue them thousands of times every night under all sorts of different extreme scenarios to work out what sorts of risk we have", said Robert Berry, Head of Market Risk for Goldman Sachs. See http://www.financialtech-mag.com/_docum/111_Actualidad_01.pdf.

SecDB evolved to include diverse capabilities but at the core it's a "dependency-graph-aware, firmwide, position valuation engine" A few key points --
* "every position" -- firmwide. Few banks have a single, firmwide risk engine. They have data silos.

* all these positions must load into memory so their attributes can automatically update in response to their upstream objects. It helps a lot if there's some "infrastructure software" that permits these positions to load into distributed nodes virtualized into one in-memory database.

* "thousands of times" -- such performance requires in-memory operation. GS veterans told me secDB is an in-memory DB, but I guess it's probably disk-based but can quickly load into memory, like KDB and other time-series databases.

It's clear to me that among all the key data types (trades, instruments, accounts, rates, correlation coefficients, ...) the first among equals is position. Like in any risk engine in any trading desk, I feel positions are the most important entity in SedDB risk engine. To an IT guy, each position object must have an instrument and account, but to the business, Positions are the basic element of analysis.

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New York (Time Square), NY, United States
http://www.linkedin.com/in/tanbin