Sub-Millisecond Liquidity Risk Interpolation
Problem: Global Tier-1 banks face “stale-data exposure” where risk engines lag 300ms+ behind market volatility, leading to inaccurate margin calls and capital over-provisioning.
Architecture: A Kappa Architecture deployment using Apache Flink for stateful stream processing. We integrated low-latency Kafka clusters with Confluent Schema Registry to ingest 2.5M events/sec from FIX/ITCH feeds. An in-memory XGBoost model performs feature engineering on the fly, calculating Value-at-Risk (VaR) with idempotent sinks to a distributed ledger.