on an integrated basis. Clients purchase the Base Architecture module which provides the core services, architecture and infrastructure to operate the additional modules. Base Architecture Module – As the pre-requisite for all


other Razor modules, this provides reference, market and credit data; screen layout configuration; security and audit; disaster recovery; a distributed processing architecture; and end-of-day, end-of-centre processing. Market Risk Module – This module provides calculation


of VaR using either historical simulation or Monte Carlo simulation; the ability to drill down into the underlying scenarios, rates and positions, providing full results and transparency; the ability to aggregate P/L results calculated externally from Razor for aggregation into the overall VaR results; scenario analysis functionality including sensitivity analysis, OLAP reporting and stress testing; and a regulatory compliant Back Testing module including Theoretical P/L calculation. Credit Risk Module – Pricing support is provided for a wide set of products including cash FX, securities, interest rate derivatives, money market, FX products, commodities, equity derivatives, credit derivatives and structured products. To support exposure management, there is also pre-deal checking, what-if functionality, netting and collateral, and the capability to extend product coverage and use separate analytics/pricing models. Advanced Credit Risk Module –


Both the Base


Architecture and Credit Risk modules are pre-requisites for the Advanced Credit Risk module. All of the functionality provided by the Credit Risk module is supported in the Advanced Credit Risk module. It also supports the calculation of potential exposure using Monte Carlo simulation. Razor’s Advanced Credit Risk module provides a specific solution for banks to comply with Basel II standards and reduce the regulatory capital requirements of the trading book. Limit Management Module – This module provides a limit functionality including pre-settlement limits, settlement


Post-TMX takeover and sale


The acquisition of Razor Risk certainly looked to be a strategic one by the TMX Group. As stated, it was a customer, using it to support its clearing operations in Montreal. The idea was to package and sell internal exchange assets alongside the Razor solution, using the acquired company’s experience of selling in commercial markets. Work started to look at synergies between Razor and the two systems that are now sold alongside it, TMX Quantum and SOLA. Clearly, by virtue of stemming from different roots, these systems are of different ages and technologies. A technology overhaul of the long-standing SOLA was started in 2013, to move it to Java. The cash equity system, TMX Quantum, has also undergone a revamp, producing TMX Quantum XA, which is described as using state-of-the-art technology for ultra-high performance with low latency response times. By early 2015, TMX was looking at running some of the Razor components on the TMX Quantum XA platform on a proof of concept basis. The external looking aspect of TMX looked as though it might have received a boost from the arrival of a new CEO, Lou Eccleston, in September 2014, who had considerable experience in the commercial software and information space, with the likes of S&P Capital IQ, Thomson Financial, Bloomberg and Pivot Inc. In 2016, TMX Group sold Razor Risk to UK-based Parabellum Limited. The decision was announced to be in line with the company’s strategy to focus on the growth of its core offerings, both domestically and internationally. Further details of the deal were not disclosed.


Risk Management Systems & Suppliers Report | www.ibsintelligence.com 149


limits, limits in reduction, multi-currency, spike limits, revolving or non-revolving limits, warning thresholds and flexible tenors; a diverse set of limit types (Razor enables limits and exposure to be measured at any aggregation level including counterparty, industry, region, country, product type, and internal business unit); counterparty management (definition and maintenance of counterparty information, as well as support for counterparty hierarchies and multiple parents); and excess management. Economic Capital Module – This allows financial institutions to calculate economic capital across all trading and lending activities. It provides a modelling and stress testing environment for the incorporation of multiple valuations and credit risk models that can integrate market and portfolio credit risks. It also includes the ability to model both default (no default models and credit migration models) and the ability to stress test (probability of defaults, loss given defaults, exposures, correlations etc). Reporting Module – This provides access to current and historical Razor information for reporting purposes. Razor provides a snapshot server and reporting database (end-of- day, intraday and on demand) that is fed as required from the main application database. The reporting database contains enhanced views and summaries of application data that may be distributed as web-based reports on the corporate inter/ intranet. Business Objects, Crystal Reports and Microsoft Reporting Services have been used by clients for report formatting. Basel Trading Module – This uses Razor’s Monte Carlo simulation engine to calculate the EPE numbers required in real-time, as well as providing support for back-testing the model, and stress testing.


By way of positioning, the Razor suite competes with the


likes of IBM’s Algorithmics-derived risk platform and some risk products of Sungard; there is some overlap with the likes of Calypso and Murex, although Razor can also complement these as a cross-asset middle office risk layer, fed via XML APIs.


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