Scope

  • Multi-strategy, multi-fund Environment
  • Convertible Bonds, Credit and Equity Derivatives
  • Vendor front office system
  • Internal Risk Management

Requirements

  • Consume multiple types of existing risk computation
  • Market and Credit Risk sensitivities
  • Time-bucketed Risk
  • Stress Tests
  • Historical Value at Risk (VaR)
  • Use front office pricing models
  • Risk aggregation and interactive analysis

Delivery

  • Production deployment
  • Front office integrated distributed risk engine
  • What-if and ad-hoc stress capabilities
  • Scalable data model for all required historical risk results
  • Interactive reporting capabilities for Risk Management and trading desks.

Benefits

  • Improved productivity and understanding of risk
  • More transparency for Risk Managers and closer alignment with Portfolio Managers
  • Enabled new fund to be launched significantly faster than previously planned.

 

Use Case Details

This multi-asset, multi-strategy fund required risk computation and aggregation for sensitivities, VaR and stress testing.

RiskMine Chronos was used to automatically collect and manage historical time series data for scenario generation

RiskMine Scenarios generated the following scenarios:

  • 1-day holding period historical VaR, 500 day window
  • 10-day holding period historical VaR, 500 day window
  • 50 hypothetical, historical and what-if stress tests

RiskMine Wildfire integrated with the front office models to create a distributed “calc farm” for risk computation. This integration took 2 weeks.

RiskMine Cube provided a multi-dimensional in-memory data model for continuous aggregation and reporting.

The users interacted with the results through Excel pivot tables and web-based interactive reports.