Coverage
Integrated data & models deliver broad coverage across:
Asset Classes
- Structured Products
- Mortgage Loans
- Mortgage Servicing Rights (MSRs)
- Other Loan Asset Types
- Private Credit
- Equities
- FX
- Commodities
- Interest Rate
- Derivatives/Options/Futures
Scenario Types
Historical Based Scenarios
- Lehman Collapse
- Tech Bubble
- 9/11
- US Credit Rating Downgrade Brexit
- Many Others!
Single and Multi-Factor Stress Tests
- Parallel and non-Parallel Yield Curve Scenarios
- Changes in Credit Spreads
- Home Price appreciation and depreciation
- Changes in Unemployment Rates
- Currency Exchange Rate shocks
- Equity
- Commodity
- Volatility
Analytics
Sensitivities
- Delta Adjusted Exposure
- Duration, KRD, Prepay, Vol, etc.
- DV01 / CS01
- Beta / Convexity
- Delta / Gamma / Vega
- Theta / Rho
Value at Risk (VaR)
- Incremental / Conditional
- Expected Shortfall
- Correlation Analysis
- Benchmarking
Regulatory Compliance
- Form PF
- AIFMD
- Open Protocol
Factor Models
- Equity
- Fixed Income
Stress Tests
- Risk Factor Shocks
- Historical Scenarios
Speed
Cloud Solution Designed for Speed:
Access
Results delivered where you need them:
Interactive UI Access:
Data feeds to downstream systems
Snowflake Datawarehouse
Mortgage Risk Experts
Client: Large Mortgage REIT
Solution: MSR, Mortgage Loan, Fixed Income Risk Solution
The Problem
An inflexible, locally installed risk management system with dated technology required a large IT staff to support it and was incurring high internal maintenance costs.
Absent a single solution, the use of multiple vendors for pricing and risk analytics, prepay/credit models and data storage created inefficiencies in workflow and an administrative burden to maintain.
Inconsistent data and QC across the various sources was also creating a number of data integrity issues.
The Solution
Adopting RiskSpan’s end-to-end data and risk management platform enabled the REIT to consolidating from five vendors down to a single platform, streamlining workflows and automating processes, resulting in a 32% annual cost savings and 46% fewer resources required for maintenance.
The REIT now leverage’s RiskSpan’s scalable, cloud-native platform to:
- Calculate Risk for its entire portfolio of mortgage loans and mortgage servicing rights (MSRs) using RiskSpan’s state of the art Prepayment, Credit and Option Pricing Models
- Capture all the nuanced features of MSRs in generating cash flows.
- Run multi-path risk analytics on portfolios of mortgages, MBS, and structured securitized products.
- Generate base case and scenario cashflows on portfolios containing Fixed Income instruments, Structured Products, Loans and MSRs
- Schedule Risk analytics and cash flows to run on daily, monthly, or quarterly basis.
Client: Hedge Fund Administrator Solution: Redistributed Cross Asset Risk
The Problem
As part of its service offering, a major hedge fund administrator provides portfolio hedging tools and market risk management reporting to many of its clients. Managing the assets of large registered investment managers is accompanied by a host of challenges. Not only does the hedge fund administrator find itself responsible for sourcing, validating, and managing all data necessary to compute key market risk metrics across a spectrum of instruments, it also needs a customizable and transparent client reporting solution. Effective portfolio hedging customization based on fund’s strategy was a key client requirement. Calculations and reporting at scale require a flexible solution. Like a growing number of its peers, our client found the RiskSpan platform to be precisely what was needed — a fully hosted, outsourced solution. The reports are highly dynamic in nature and must be delivered by way of a secure, hosted environment to a large number of diverse, institutional clients.
The Solution
A primary feature of RiskSpan’s Platform is its ability to customize portfolio analysis and reporting across all relevant parties via the cloud using a flexible analytics engine. Further, the Platform is capable of ingesting, validating, and integrating disparate data sources including portfolio constituents, historical performance and client provided custom metrics. The flexible nature of the platform allows the ingestion of client-produced analytics and supports the reporting, distribution and publishing of the client’s full range of more than 190 risk metrics, including hedge allocation, custom aggregation, scenario analyses and performance forecasting. These metrics are presented for more than 13,000 instruments across 750 scenarios, resulting in just under 10 million simulations—all readily viewable to every client stakeholder via the cloud using Tableau. 
