Risk

The first time someone told me the risk calculation system was written in Clojure, I assumed it was a prototype or a skunkworks project. It wasn’t. It processed end-of-day risk for a significant portion of the firm’s trading book and had been in production for two years. Here’s why that decision made sense, and what it was actually like to work in. ...

Risk in a batch system is a solved problem: collect all positions, apply valuation models, sum the results, write a report. The dealing desk doesn’t want a report. They want a number that’s correct right now, updates in under a second when a trade comes in, and doesn’t go stale when a price moves. That’s a different problem. ...