An asset management company needed to replace an inflexible risk system provided by a Wall Street dealer. The client’s portfolio was diverse, with a sizable concentration in structured securities and mortgage assets. The legacy analytics system was rigid with no flexibility to vary scenarios or critical investor and regulatory reporting.
Every portfolio manager requires reliable and accurate analytics to manage risk and improve investment decisions. They require understanding of investment positions and the impacts on risk metrics measures such as value at risk (VaR). The faster they can assess a portfolio’s total exposure and understand the key drivers, the better they can react and align activities with the overall firm risk appetite.
“The challenge was that our existing daily process for calculating, validating and reporting market and credit risk metrics required significant manual work. If we could get to the answers faster, we would be in a much better position to identify exposures and address potential problems.”
The Solution
As a fully-managed solution, RiskSpan’s Edge Platform provides the asset manager with a cost-efficient and flexible solution. The service bundles required data feeds, infrastructure management, and predictive models for mortgages and structured products. Edge manages and validates third-party data as well as client portfolio data, and produces scenario analytics in a secure hosted environment. With the combination of models, data management, and an end-to-end managed process, Edge provides the asset manager with unmatched value.
The Benefits
- Portfolio risk measures on-demand
- Structured product expertise
- Outsourced data management
- Predictive models for mortgages
- Outsourced hardware management
- Customized dashboards and reports
The asset manager used the Edge Platform to cut hours from daily risk-reporting processes and free several analysts to focus on their primary task: optimizing analytics and processes that support better investment decisions.
Deliverables
Analytics Software
The Edge Platform provides for the calculation of key market risk metrics for over 70 different instrument types. The service provides for a combination of on-demand or overnight batch processing. Users have online access to platform to run ad-hoc analyses, including additional scenarios or what-if analyses. The hosted platform makes the processing speed lightning fast.
Data Management Outsourced
The Edge market-risk analytics platform integrates data from six major data vendors. Our data management services support integrated data for interest-rates, implied volatility, and terms & conditions for over 70 different instrument types. The platform includes loan-level data for Agency and non-Agency mortgage-backed products. The platform integrates seamlessly with Intex subroutines to support all structured products. Further, Edge clients have access to a team of experts in mortgage and structured product – not just technical support.
Technology and Infrastructure Management
As a hosted solution, the asset manager is able to leave management of hardware to the Edge technology team. We secure and manage all required hardware, freeing up millions of dollars in hardware acquisition costs and labor costs required to manage the infrastructure.
