Case Study: Risk-as-a-Service

The Client

Portfolio and Risk Management Software Vendor

The Problem

Our client is a Portfolio and Risk Management software vendor and leading provider of on-demand derivative trading analytics, portfolio and risk management solutions for the global financial industry. Its flagship product provides thousands of users worldwide with advanced real-time portfolio and risk management solutions.  The product delivers risk analysis and transparency to funds of funds, institutional investors, asset managers and others that invest across multiple funds and asset classes. By independently sourcing, verifying, aggregating and normalizing the fund level data that is typically not accessible by investors, then applying common sets of risk exposures and risk scenarios, the product provides the framework for comprehensive risk analysis. 

The Solution

This client did not have the capabilities to provide risk services for residential mortgage securities and structured products and could not independently provide risk services to clients that had RMBS investments. The turnaround time on large portfolios of securities was also critical. 

RiskSpan provided a customized solution to support the recipient’s clients with risk analytics. RiskSpan supports clients through a batch risk service that is run overnight on a cloud computing solution leveraging RiskSpan’s Edge platform.  The RiskSpan service is offered to clients as either daily or monthly to meet client needs. This client uses the risk service in their product, a risk aggregator service.  

The Deliverables

RiskSpan provides the risk analysis for structured products. This risk services solution includes: 

  • OAS simulation processing for agency and non-agency securities​
  • Reporting of OAS, OA-Duration, Convexity, Vega, and eight Key Rate Durations​
  • Additional analytics and scenarios that RiskSpan currently supports and will support in the future as part of the Edge Platform can be provided on request via the batch service

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