Time-structured stress tests are also supported. A range of stress tests are also available for one or multiple parameters including stock prices, interest rates, credit rates, FX rates, dividends, volatilities and correlations by any slice and dice attribute. In addition, Sophis VALUE enables automatic portfolio rebalancing to model portfolios. Indexes, hybrids, synthetic and custom models are also supported. Flexible portfolio models can be built in the system. An extensive pricing library supports a range of risk scenarios from linear risk matrices and key rate analysis, to non-linear stress tests and value at risk (VaR). Product description: Sophis VALUE offers a wide range of functionality for hedge funds and asset managers covering risk analysis, modelling, stress testing and reporting. Sample clients: Varden Pacific (US) Oracle Capital (Hong Kong) Tiden Capital (US) OFI Asset Management (France – €52.5 billion) Pine River Capital (US) Channel Capital (UK – $10 billion).Ĭompany history: Misys, a risk management vendor primarily focused on the banking sector, acquired Sophis (and its Sophis Value product) in 2011, thereby expanding the company’s portfolio of risk products to include the asset management industry. Risk types covered: Market credit and counterparty.Īlternative fund types covered: Hedge funds proprietary trading. This provides an open platform that allows clients to build their own proprietary models and easily integrate with existing models or data. Quantifi Risk is built on Quantifi Toolkit, an extensive, open library of market tested and validated models. Quantifi Risk provides an open and scalable system that automates the day-to-day valuation and risk management process for even the most complex portfolios. Buy-side clients use Quantifi Risk for valuation and aggregated risk reporting at the business unit level. Product description: Quantifi Risk is a turn-key trading and risk management solution that provides next generation valuation, trade processing, risk management, and interactive reporting. Moment Analytics, a risk management software vendor, was acquired in 2009 and it has established strategic alliances with a number of data vendors, including Thomson Reuters and Markit. A London office was opened in 2006 and a New York office was opened in 2009. Sample clients: State Street Global Advisors ($2 trillion) BlueCrest Capital ($33 billion).Ĭompany history: Quantifi was founded in 2002 by Rohan Douglas, who is chief executive. However, investment management functionality for such investment types is limited. This enables other low liquidity and low volume alternative investments such as private equity and venture capital to be captured and managed to support enterprise-wide and fund-wide analysis. Calypso is primarily designed to manage assets and instruments whose underlying price and valuation variables are marked to market. Risk types covered: Market liquidity counterparty credit collateral management.Īlternative fund types covered: Hedge funds, hedge funds of funds, qualifying investor funds (QIFs), specialised investment funds (SIFs). Capabilities include launching new funds with minimum time to market analytics for all products available out-of-the-box plus ability to plug in proprietary analytics price validation of multiple sources (prime brokers, administrators, counterparties, brokers) standard interfaces to market data providers, prime brokers, utilities and funds and collateral management across all counterparties and prime brokers. It covers all asset classes, enabling accurate risk measures against cross-asset profit & loss, net asset value (NAV), liquidity, position and risk. Product description: The Calypso buy-side solution provides buy-side institutions with a single cross-asset platform that performs a full range of risk management functions including what-if analysis, scenario analysis, stress testing, back testing, and value-at-risk. Product name: Calypso (buy-side solution). It counts over 30 buy-side institutions as clients. The Java-based trading and risk management platform is especially applicable for treasury and derivative products. With the Alternative Investment Fund Managers Directive to be implemented this July, the Funds Europe survey of some of the leading providers in third-party risk management services has a focus on alternative investments.Ĭompany history: Calypso was founded in 1997 in San Francisco.
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