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Portfolio Risk Analytics

A fully-managed, end-to-end market risk solution for your entire portfolio.

Cloud-Native Risk Service

Designed by Quants and Technologists for Fast Implementation

We have transformed portfolio risk analytics through distributed cloud computing. Our optimized infrastructure powers risk and scenario analytics at speed and cost never before possible in the industry.

Perform advanced portfolio analysis to achieve risk oversight and regulatory compliance with confidence. Access reliable results with cloud-native interactive dashboards that satisfy investors, regulators, and clients.

A typical Enterprise-size client:


Loan & Instruments

  • 300M Loans

  • >25,000 Instruments

  • 50 Billion Cashflow Projections

Scenarios & VaR

  • 150 Standard Scenarios

  • 3 Year VaR Lookback

  • 750 Scenarios per Instrument

Types & Simulations

  • 100+ Instrument Types

  • 187,500 Simulations per Instruments

Secure & Scalable

  • IBM Cloud

  • Amazon Web Services


Fully-Managed Market Risk Solution

Covers all asset classes – specialization in mortgages and structured products

Infinitely Scalable Processing

We’re fast. Very fast. Our modern, streamlined technical architecture and operations support monitoring enable return speeds that set a new industry standard.

Integrated Data & Models

Multi-asset class coverage. We cover everything – integrated data feeds with asset-level results, rates models, prepay models, credit models and VaR for complex instruments like MBS and ABS.

Dynamic Reporting

We deliver robust stress testing, sensitivity analysis, and enable you to export standardized and customized reports. You’ll have interactive and on-demand access around the clock.

Two Flexible Options


Fund Subscriber Service

Standard over-night on-cloud processing provides advanced risk analytics for multi-asset class risk modeling results:

  • Exposure Analysis

  • Option Greeks (delta, gamma, Vega, theta, rho)

  • Beta

  • Value-at-Risk (VaR)

  • Stress Testing (interest rate shocks)

  • Correlation Analytics

  • Liquidity

  • DV01

  • CS01

  • Key Rate Durations (KRDs)

Managed Service

Our Managed Service inherits the powerful software analytics from our Fund Subscriber Service but also enables:

  • Custom Analytical Support

  • Custom Scenario Setup

  • Variable Pricing on Additional Instrument Processing

  • Custom Batch Scheduling Options

  • Custom Enterprise System Integrations

Easy Integration and Delivery


Web Services Integration

For Enterprise-scale customers that require back-end integration with other back-office systems. Access the Market Risk Service Module analytics intra-day through an XML process or REST API that maximizes speed of delivery.

Customized Investor Reports

Access pre-formatted reports in downloadable PDF-format for on-demand analytics and scheduled batch processing runs. Our application enables users to set up custom scenarios and custom report files to perform analysis when they need it.

Data Feeds

Access for downstream data systems in file-based delivery formats including CSV, XML, and JSON – for on-demand analytics and scheduled batch processing runs.

Interactive Dynamic Dashboards

Browser-based, drillable visualizations of your portfolio risk are available via our interactive dynamic dashboards

Instrument Coverage


Options

  • Equity Index Option

  • Equity Index Futures Option

  • Equity Option

  • Bond Futures Option

  • Commodity Futures Option

  • FX Futures Option

  • FX Exotic Option

  • FX Option

  • Interest Rate Futures Option

  • Equity Volatility Index Option

Fixed Income

  • Bank Loan

  • Corporate Bond

  • FRN

  • Municipal Bond

  • Sovereign Bond

  • Inflation Linked Bond

  • Money Market

  • Convertible Bond

  • Corporate Bond Swap

  • Convertible Bond Swap

Structured Products

  • ABS

  • Agency Residential

  • Non-Agency Residential

  • CDO

  • CMBS

  • Pass-through Pools & TBA

  • RMBS

  • Whole Loans and real estate

Swaps

  • Basis Swap

  • Interest Rate Swap

  • Bond Index Total Return Swap

  • Equity Index Swap

  • Equity Swap

  • Inflation Swap

  • FRA

  • Volatility and Variance Swaps

Equity Products

  • ADR

  • Bond ETF

  • Common Equity

  • Equity CFD

  • ETF

  • Equity Warrant

  • Preferred Equity

Futures

  • Bond Futures

  • Equity Futures

  • Equity Index Futures

  • Commodity Futures

  • Interest Rate Futures

  • Equity Volatility Index Futures

Credit

  • CDS Corporate

  • CDS Sovereign

  • CDS Index

  • CDS Option

Derivatives

  • Swaption

  • Swaption Future Premium

  • Interest Rate Cap

  • Interest Rate Floor

FX

  • Forwards

  • Spot/Cash

Others

  • Repo

  • Reverse Repo


Resources

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How reliable is your data?

Our team of quants and data scientists is available on demand to provide custom support.

LEARN ABOUT OUR SERVICES

Ready to elevate your analytics?

  • Go further with our cutting-edge platform for data modeling and analytics.

  • Access talented quants and data scientists to help build, manage, and integrate your data applications.

  • Use our analytics expertise to help you make better sense of your data.

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