CS Taps Fame Database For Risk Management System

Credit Suisse is implementing Fame Information Services Inc.'s time-series database product at its Zurich headquarters. Fame will be used to supply historical market data to other components of a cross-product risk management system covering Credit Suisse's entire global treasury operations. The system will be rolled out in New York, among other locations.

Erwin Martens, Credit Suisse's head of global market risk management services, was unavailable for comment by press time. However, a source close to the rollout says the firm started work on its risk project last fall.

The project is scheduled to go live this summer and will be used for both internal risk management and external regulatory reporting, says the source.

Credit Suisse's treasury operation deals primarily in currency and money market instruments. "That's what the main focus for this risk management operation is on, although it is obviously going to expand to other instruments," says the source.

This source says that Fame's role in the Credit Suisse project is to store historical time-series data on a central server based in Zurich. "It is clearly a benefit to have everyone generating reports off the same prices," says the source.

Caching such historical data in one location also makes it easier for the bank to administer and maintain its time-series, the source says.

In addition to the Zurich-based Fame server, Credit Suisse's new risk project will include rollouts to New York, London, Frankfurt, Singapore, Tokyo and one site in Australia.

Sources say that this project is exclusively for Credit Suisse and will not affect the bank's two subsidiaries: New York-based Credit Suisse First Boston and London-based Credit Suisse Financial Products.

The architecture of Credit Suisse's new risk system includes Sun Microsystems Inc. servers linked to client workstations and PCs via an assortment of local and wide area networks.

Sources say the firm's technology staff has already linked Fame to its Sybase Inc. relational database.

As the project proceeds, the source says the firm will link it to both Microsoft Corp.'s Access database and Summit Systems' software.

Sources say Summit is used by the firm to calculate zero and yield curve values from bond prices held in Fame. These calculated curve values will then be returned to Fame for central storage.

Fame's participation in this project is an extension of the vendor's incumbency at Credit Suisse, sources say.

The firm uses Fame to store historical market data supplied by McGraw-Hill Cos.' DRI/McGraw Hill and other vendors.

Ian Gordon, Fame's vice president of sales for Europe and Asia, says Fame's dedicated time-series warehouse offers advantages over off-the-shelf software such as relational databases or spreadsheets.

In particular, matrix calculations involving volatility/correlation coefficients are too complex to be effectively processed by standard relational databases such as Sybase, says Gordon.

While they decline to comment on the Credit Suisse project, sources at Fusion Systems Group confirm that the consultancy firm is involved with Credit Suisse's risk project in Zurich.