Software survey 2003

Credit technology hogged the spotlight in 2002, as the spectacular collapse of a host of corporate giants combined with movement on the Basel II Accord focused everyone's attention on this class of exposures.

With the stunning collapses of Enron, WorldCom and others, an ailing global economy pushing more companies into trouble and the implications of the Basel II proposals on credit risk beginning to sink in, it is no surprise that there has been a rush towards credit risk management tools over the past year. Software suppliers have responded with a range of modules for measuring exposures, calculating probabilities of default and other factors, and managing limits. Meanwhile, the market has responded with a growing variety of credit derivatives with which to transfer risks. Software suppliers have also enhanced their systems to support trading of these instruments.

At the same time, depressed but volatile equities markets have alerted investment managers to the need for measuring risk with the same efficacy as returns, while banks and corporates are struggling to comply with new US and international accounting regulations. But while the software suppliers have been developing tools to help firms meet these and other challenges, they are trying to sell them in an environment of tight budgetary constraints, more cautious spending and pressure to improve the overall cost efficiency of firms’ technology infrastructures.

These are some of the main trends evident from our annual survey of new and upgraded derivatives trading and risk management software, which begins on page 59. Risk invited nearly 80 suppliers to provide details of recent or planned new products or versions of existing applications, as well as to comment on the main factors that have affected their market in the past 12 months, and the factors they anticipate determining demand in 2003.

As Michael Whitaker, head of risk management solutions at London-based data, trading and risk management systems supplier Reuters, says, 2002 was predictable only in its unpredictability. Enron caught almost everyone by surprise, and forever changed the face of credit risk management, not to mention the audit and consultancy businesses, he says. “The notion of high risk versus low risk counterparties no longer exists,” says Whitaker. “Everyone is under scrutiny. The [Enron] incident had the effect of triggering global counterparty risk aggregation programmes around the world.”

Enron and the credit events of 2002 exercised everyone’s credit risk technology, and showed up a number of weaknesses in systems. But it also sparked financial product innovation, says James Tomlin, managing director of London-based risk and profit and loss systems supplier Tamesis. “Following the credit shocks in the market, it is clear that [credit risk management] systems need to be more flexible, and show risk positions across all asset classes rather than in [single asset class] silos. These shocks opened up new market opportunities, as evidenced by the rapid growth in structured credit business,” he says.

Credit risk interest

Not surprisingly given the collapse of Enron, energy systems specialists report a sudden interest by energy firms in credit risk, and a demand for functionality to support this in addition to their usual market risk tools. “The ability to view in real time credit exposures and/or credit events has become increasingly important to the market-place, as the credit health of counterparties can change quicker than ever,” says David Sadoff, director of product marketing at New York-based Caminus. “This focus on credit has also increased the emphasis on multi-commodity systems capable of capturing deals across the entire trading portfolio to provide a total enterprise view of credit.”

Correspondingly, the demand for credit instruments and the requirement for software to support them have risen. Among the suppliers that have been adding credit derivatives to their applications are trading and risk management systems supplier Brady, based in Cambridge, England; Stockholm-based front- to back-office supplier Front Capital Systems; and London-based broker and analytical software supplier GFI Group.

Suppliers report that firms are increasingly looking for tools to support the use of collateral as another way of mitigating credit risk, and a number of suppliers have been developing functionality to support this. For example, London-based Financial Software Systems and Chicago-based Integrity Treasury Solutions introduced collateral management modules for their treasury systems, while New York-based Caminus supports the use of collateral by energy firms.

While the implementation of Basel II is still some years down the road, new accounting standards FAS 133 for the US and IAS 39 for Europe and elsewhere are coming into play already. More suppliers are adding support for compliance with these standards, such as Paris-based asset liability and risk management system supplier Fermat, and German software giant SAP, which had nearly a dozen banks immediately sign up for its IAS 39 module when it introduced it last year.

The regulators have always been one of the main drivers of the uptake of modern risk management applications, but with Basel II coming hard on the heels of the new accounting rules, the pressure from the authorities is greater than ever. This is leading to a distinctive regulatory risk systems market, particularly in Europe, believes Didier Bouillard, chief executive officer at Paris-based front- to back-office supplier Ubitrade. To comply, firms face bills of several million euros to implement systems, he says.

With this pressure to spend on new systems coming at a time of a market downturn and reduced revenues, suppliers say firms want applications to cover more sections of their business, to cut technology costs and simplify the integration of data for risk analysis, as well as to automate more processes in the quest for better productivity and reduced staffing levels. Coleman Fung, chief executive officer of trading and risk management system supplier OpenLink, based in Mitchel Field, New York, says: “Users are demanding more from software vendors in terms of plugging into their existing environments, with minimal integration and IT effort from the client organisation. This includes not only interfacing with the existing legacy platform, but also effectively aggregating trading activity, positions and risk across various systems, databases and business lines.”

There are signs in the survey of progress towards the ultimate goal of an integrated approach to all risk measurement and management across the enterprise. Apart from the entry of London-based Almonde, which has expressly set out to address this challenge, several other suppliers created modules to extend the risk categories their systems cover. For example, OpenLink announced it will release an asset and liability module for its Findur trading and risk management system in April, while Chicago-based asset and liability management and profitability systems supplier Quantitative Risk Management (QRM) has released a credit risk module. QRM believes this integrated approach to risk measurement and management is essential for institutions to get a true picture of their risks.

“Institutions today are focused on measuring various forms of risk through disparate and disconnected systems,” says Henry Norwood, balance sheet management systems product manager at QRM. “This disconnect is resulting in institutions failing to capture the effects of correlation between various forms of risk, and in many cases is causing the true risk picture to be overstated or distorted. The integration of risk measurement into one system that can measure the impact of all risk classifications in multiple dimensions efficiently and accurately, while utilising a consistent set of assumptions, is the wave of the future.”

But while some suppliers are focusing on the integration of risk and asset and liability management, others are attempting to bring operational risk into the equation. Again, this is partly driven by the Basel II proposals. Apart from the specialist operational risk suppliers, such as London-based Amelia Financial Systems, and market and credit risk suppliers that already have op risk modules, such as Toronto-based Algorithmics, or alliances with specialist suppliers, such as London-based Misys International Banking Systems, those adding op risk modules to their application suites include dbs Financial Systems, based in Poole, England, and Helsinki-based CD Financial Technology. Meanwhile, New York-based Axiom Software Laboratories has become one of the first enterprise risk management systems suppliers to include anti-money laundering functionality and support for the new USA Patriot Act in its product offering. Until now, anti-money laundering technology has been the preserve of specialist suppliers, usually applying artificial intelligence to the analysis of banking transactions.

Apart from credit derivatives, the other asset class to receive particular attention from software suppliers in recent months has been equity derivatives, with California-based Calypso Technology planning to add a special module for the instruments to its cross-asset processing system this year, and London-based Xenomorph announcing pricing and data management services for equity derivatives.

Migration towards a component approach to structuring and delivering software, where systems are broken down into self-contained elements that plug together like Lego bricks, also continues. This can make systems easier to integrate into an organisation’s technology architecture, as well as to upgrade and maintain because it minimises the impact on the whole system of changes or failures in single components. Component-based systems also lend themselves to being deployed on so-called n-tier architectures, where ‘n’ is two or more, where the user, processing and database elements of an application are separated and distributed across several tiers of hardware for improved performance, cost efficiency, database control, or other reasons. Among the suppliers that announced re-engineering of their existing applications or new product developments on a component and/or n-tier model were energy software supplier KWI and enterprise risk and data supplier Lombard Risk Management, both based in London, and Ubitrade.

Ubitrade’s Bouillard believes the industry has reached a level of basic technological provision, and to progress to the next level – enterprise-wide systems integration – will require the widespread adoption of the component approach. “All financial institutions are well equipped, with software systems automating their processes,” says Bouillard. “These systems now need to evolve and become scalable and open to facilitate integration with other systems within the financial institution, hence the evolution towards component-based and multi-tier architectures.”

Our survey also shows that more suppliers have become application services providers (ASPs), setting up online offerings of their applications that organisations can rent as an alternative to them installing the systems in-house. In June, California-based buy-side risk management software specialist Barra launched BarraOne, a portfolio management and risk analysis ASP, while New York-based risk management software and data supplier RiskMetrics introduced an ASP version of its RiskManager market risk management system, and London-based derivatives front- to back-office systems supplier Rolfe & Nolan extended its order entry and management ASP to cover the European as well as the US market.

Also noted is how well established the Linux operating system has become in the financial software sector. Linux is an open source version of Unix – its source code is freely available and is developed by volunteers in the computing community, although there a number of companies that provide commercial services to support its use. Of the 80 companies in our survey, around a quarter now specifically support the operation of their applications on Linux.

And although the industry is still struggling to come to terms with the events of 2002, some suppliers see a light at the end of the tunnel. Mark Garman, chief executive officer at California-based analytics and data supplier Financial Engineering Associates, forecasts “the gradual return of IT spending as companies become re-educated that buying new software means buying competitive advantage”.

AFA SYSTEMS
The company added Dart+Mathematics, a library of mathematics functions, to its Dart suite of analytics in April. The module aids rapid in-house financial development, and connectivity with other systems. At the same time, it introduced Dart+Highway, a real-time object distribution server for generating and publishing software objects across the enterprise network. This year, the company plans to release Exotics II, its second generation module of models for new exotic instruments. And the company plans to develop an infrastructure for optimising the exchange of information between ‘thin client’ user elements of applications over local or wide area networks.
Contact: Henry Umney
T: [phone]
E: [e-mail]
URL: www.afa-systems.com

ALGORITHMICS
Version 4.2 of the Algo Suite enterprise risk management software includes enhancements to performance, scalability, maintenance, security and reporting. The system is now fully distributed, with a new open framework for security that provides authentication and authorisation services. It is easier to build reports, and possible to reuse risk expressions across report definitions. The company also introduced Algo Data Loaders, which enables users to populate Algo Suite with market and securities data available through Bloomberg’s Data License product.
Contact: Kevin Ellis
T: [phone]
E: [e-mail]
URL: www.algorithmics.com

ALMONDE
Last year, it launched its eponymous system for managing margins, risk and costs through integrating risk management, financial control and marketing. The system includes a data management layer with a data flow engine, an applications layer that can use Almonde, in-house or third-party components, and a Java-based user interface layer. So far, the company has released applications for asset and liability management and funds transfer pricing, and a software
developers kit. This year, it plans to
enhance its existing models, and to
release a credit risk module that will
include credit scoring and default loss calculations.
Contact: Erik Soderberg
T: [phone]
E: [e-mail]
URL: www.almonde.com

AMELIA FINANCIAL SYSTEMS
In October, it released OR2Q (Operational Risk Qualitative and Quantitative), a modular, configurable system that users can extend to meet the evolution of their op risk management methodology and processes. It supports loss-event capture, in-house and third-party loss-event databases, external data feeds, tailored risk matrices, controls, self assessments, action plans, key risk indicators, reports, analytics, capital allocation, review notes, test plans, risk treatments, across various business entities. Developed in Java, the system runs on BEA Systems’ WebLogic and IBM’s WebSphere servers so far.
Contact: Peter Hill
T: [phone]
E: [e-mail]
URL: www.amelia.co.uk

ANVIL SOFTWARE
Anvil Order Management, introduced in June, manages order placement across multiple exchanges and/or brokers, and helps achieve straight-through processing of transactions. The company also added new modules to its Denarius global, integrated trading system for bonds, money markets, foreign exchange, repos and swaps, to support pre-trade and real-time compliance, market and static data management, and complex fixed-income instruments such as index-linked bonds, floating-rate notes, callable and puttable bonds, and amortising instruments. This year, it plans to extend its Arts repo trading system with real-time credit checking, agency lending and improvements to the US domestic repo trading and securities finance capabilities.
Contact: James Dalby
T: [phone]
E: [e-mail]
URL: www.anvil.com

ASKARI
November’s release of version 7.0 of the company’s truView enterprise risk management system for the buy side has improved infrastructure, including new data mapping and configuration tools that allow users to load custom data at the position level, and support for rapid deployment of new financial models. The reporting engine makes it easier to access analytical results from truView or other systems, and allows users to build reports using third-party tools, such as Crystal Reports. New analytics include key rate analysis, high and low volatility market regimes analysis, and tools for customised equity style indexes and benchmarks. Available installed or as an ASP.
Contact: Eric Reichenberg
T: [phone]
E: [e-mail]
URL: www.askari.com

ASSET CONTROL SYSTEMS
Launched in October, AC Data Suite enables users of the company’s data management software to access a ‘golden copy’ of reference data from its ACDEX investment data management service and data exchange. AC Data Suite includes an upgrade of the company’s AC Plus data cleaning, aggregation and storage server, which now supports the ISO 15022 data dictionary standard, and has a number of interfaces to major data vendors. Other features include pre-built mapping tables and data cleaning rules and functions to enable users to extend the mapping and cleaning rules, and enhanced facilities for system management and extending models.
Contact: Jolanda Veenhof
T: [phone]
E: [e-mail]
URL: www.asset-control.com

AXIOM SOFTWARE LABORATORIES
Version 5.2 of the company’s RiskMonitor enterprise risk management system includes a number of enhancements to the risk engine, such as the ability to map and use selective subsets of indexes relevant to securities within a portfolio, and to analyse portfolios against a benchmark. Version 2.1 of the company’s ComplEye global trade surveillance and compliance system now covers the USA Patriot Act, anti-money laundering, deception analysis and know-your-customer facilities. Version 9.2 of its IntegrationCenter data and process management system supports compliance with Basel II, and will run on clusters of IBM servers using the Linux operating system.
Contact: Patrice Melloul
T: [phone]
E: [e-mail]
URL: www.axiomsl.com

BARRA
In June, the company introduced BarraOne, a portfolio management and risk analysis ASP that offers customised analysis, flexible risk reporting and asset class integration, and is quick to get up and running. Users can measure risk in absolute terms or relative to a benchmark, investigate the impact of adjustments in their portfolio and customise client reports. Barra also introduced Barra Integrated Model, a multi-asset class model for forecasting the asset and portfolio level risk of global equities, bonds and currencies. It combines broad asset coverage with country market models for analysing the risk profile of single-country or international portfolios.
Contact: Krista Gulbransen
T: [phone]
E: [e-mail]
URL: www.barra.com

BRADY
Over the past year, Brady added flexible credit limits functionality to its Trinity treasury trading and risk management system for small to medium-sized financial institutions and large corporates. The system now enables traders and risk managers to enquire and report on any limit criteria in real time, including by country, currency, dealer, desk, time bucket, counterparty or counterparty group hierarchy. Brady is currently developing support for pricing, trading and managing credit derivatives, and credit risk calculations to add to its market risk value-at-risk applications and reporting.
Contact: Matt Rochelle
T: [phone]
E: [e-mail]
URL: www.bradytrinity.com

BRAVO RISK MANAGEMENT GROUP
Last year, Bravo introduced its Cognity portfolio risk management system, which instead of using normal distributions of returns in its market models, uses a more general family of distributions that explicitly recognise the occurrence of extreme market events and the asymmetry of financial returns. This leads to more efficient market, credit and economic capital estimation and portfolio allocation across asset classes, the company claims. So far, the web-based system includes market and credit risk modules, with portfolio optimisation and operational risk modules under development.
Contact: Dobrin Penchev
T: [phone]
E: [e-mail]
URL: www.bravo-group.com

CALYPSO TECHNOLOGY
Last year, Calypso released a credit derivatives module for its real-time, cross-asset processing system aimed at top-tier banks and hedge funds. The module supports multi-tranche structures, such as synthetic collateralised debt obligations, as well as vanilla, single-name and basket default swaps. This year, it will release an equity derivatives module and sophisticated scenario analysis functionality. It will also supplement its one click, cut and paste interface with the Excel spreadsheet with a two-way dynamic interface that will allow Calypso application programming interfaces to be called from Excel, and Excel-based pricing models to be called from Calypso.
Contact: Paul Gardiner
T: [phone]
E: [e-mail]
URL: www.calypso.com

CAMINUS
The company has added a number of new modules and features to its suite of products for the energy industry. These include enhanced credit functionality, such as real-time credit-limit monitoring and the ability to capture over-the-counter collateral terms, support for earnings-at-risk and cashflow-at-risk analysis, enhanced support for the valuation and trading of gas storage, power generation and pumped storage assets, and expanded physical commodity scheduling capabilities to include coal and crude oil. Back-office functionality for integrated settlements and invoicing now includes automatic prior-period adjustment generation, and one-click batch printing for confirmations and invoices. Collateral functionality now includes margin-at-risk analysis.
Contact: Steve Rooney
T: [phone]
E: [e-mail]
URL: www.caminus.com

CD FINANCIAL TECHNOLOGY
The company has rewritten the computation engine of its Var+ scalable risk management system to improve performance and support multiprocessor operation, with performance gains of 500% or more over previous versions, it claims. The new engine is part of version 5.0, released in August, which also now supports the advanced internal models approach of Basel II for market, credit and op risk. Credit functionality includes internal estimation of probabilities of default, while op risk functionality includes actuarial methods for simulating frequency and size of operational events.
Contact: Urho Lempinen
T: [phone]
E: [e-mail]
URL: www.cdgroup.fi

COR RISK SOLUTIONS
Last year, it enhanced its Bita Curve portfolio analytics and optimisation application with more powerful spreadsheet-based risk reporting capabilities, a task automation module, fractile back-testing and portfolio aggregation. It also enhanced its Bita Optimizer for portfolio optimisation with simultaneous long-short optimisation, and added constraints such as lot size and non-linear costs for defining the optimisation process. Key elements of these applications are now available as components for integration into other applications. This year, the company plans to add to Bita Curve the handling of collective vehicles, script-based alpha and risk modelling, extended database integration, and fixed-income modelling.
Contact: Carl Lauer
T: [phone]
E: [e-mail]
URL: www.cor-rs.com

DATASYNAPSE
LiveCluster 3G is the latest version of the company’s software for distributing computationally and data-intensive applications across grids of processors on an organisation’s network. It comprises the Application Enabler – a set of application interface modules that can be plugged into existing or new systems or services to enable them to access processing grids – and the GridServer, which organises and manages the processing over the grids.
Contact: Mark Roth
T: [phone]
E: [e-mail]
URL: www.datasynapse.com

DBS FINANCIAL SYSTEMS
Last year, the company introduced Accord, an integrated application with a graphical user interface to enable operational risk managers to monitor risks, incidents and trends. Users can create local reports or transmit the information to a central module that consolidates the data to produce enterprise-wide analysis of operational exposures. The company also added a facility for clearing houses to read files produced by its Electronic Clearing House Online (Echo) real-time, multi-user application for managing files sent to or from central or remote clearing houses.
Contact: Peter Lunn
T: [phone]
E: [e-mail]
URL: www.dbsfinsys.co.uk

DECISIONEERING
In August, the company launched Real Options Analysis Toolkit, a spreadsheet-based application for analysing real options (applying financial options theory to capital investments) and incorporating them into custom spreadsheet models. It includes 69 functions, such as switching, expansion and contraction, and 33 models such as barrier, American and European options. It enables users to enhance existing net present value analysis by adding further analysis, including multiple decision pathways and Monte Carlo simulations. It also provides a framework for identifying, valuing, selecting and prioritising projects, and incorporating new decisions over time without having to define all decisions at the outset.
Contact: Jennifer Mogck
T: [phone]
E: [e-mail]
URL: www.crystalball.com

DECISION SOFTWARE
New features added to the company’s trading system over the past year include electronic trading interfaces to Bloomberg, eSpeed and BrokerTec, and enhanced money market trading facilities such as automatic creation of securities, control of investment amount and offered amount, management of denominations, and calculation of trade revenue. The company also enhanced the repo trading, funding desk and investment portfolio modules, and added a quick security set-up facility and a price history display function. Technology enhancements include the addition of a redundant server for disaster recovery, improved distributed trade processing, support for continuous operation and XML access to the system’s data.
Contact: Tom Burrus
T: [phone] ext. 24
E: [e-mail]
URL: www.dsoftware.com

DERIVATECH
In May, the company launched Next Generation FX Risk Platform, a global sales, trading, risk management, finance and auditing system for foreign exchange derivatives. The real-time, scalable, extensible and open platform includes advanced analytics for measuring derivatives risk. Pricing facilities include an import and export mechanism for interacting with other applications via the Excel spreadsheet, and calculation methodologies for average rate, average strike and partial double barrier options. The platform supports straight-through processing from trade capture, to the back office, with a real-time trade blotter, and lifecycle and cash management tools.
Contact: David Aaron
T: : [phone]
E: [e-mail]
URL: www.derivatech.com

DERIVATIVE SOLUTIONS
New products released by the company in 2002 included Fixed Income Win, a customisable analytics system for mortgage- and asset-backed securities and collateralised mortgage obligations traders and portfolio managers, and CDO Manager for the valuation and risk management of collateralised debt and bond obligations. It also introduced a portfolio batch processing module, and added new features to its credit analysis of structured products and corporate bonds, among other things. This year it plans support for large-scale installations of Fixed Income Win, as well as new developments in portfolio optimisation and mortgage prepayment modelling, and a credit risk framework.
Contact: Greg Milin
T: [phone]
E: [e-mail]
URL: www.dersol.com

EGAR TECHNOLOGY
The company introduced a real-time limits server for enterprise-wide limits management to its Focus cross-asset trading and risk management system, as well as middle-office profit and loss reporting, and improved netting, confirmation and payments functionality in its back-office module. It also launched an equity derivatives suite that includes the ETS real-time equity options trading and risk management system, the Dispersion volatility dispersion strategy analyser, the Hedger correlation-based delta and vega hedge analyser, and the IVolatility.com data service. The company also launched the ETX proprietary messaging middleware for integrating Egar and other applications.
Contact: Lisa McErlane
T: [phone]
E: [e-mail]
URL: www.egartech.com

ERISK
Version 3.2 of the company’s Analytics risk, capital and performance management ASP includes enhancements to a number of core components, including its credit and credit concentration tools. Erisk has extended the data import and export functionality to include interest rate curves, factors and correlations, and users are now able to specify which dataset they want to use before beginning a new session. The new version also contains improved navigation through the application, and introduces a module for customised reporting. The system supports capital allocation, product and customer profitability analysis, risk-based pricing, product management and regulatory compliance.
Contact: Phil Dinsmore
T: [phone]
E: [e-mail]
URL: www.erisk.com

FERMAT
Over the past year, the company introduced new products to support compliance with international accounting regulations IAS 32 and 39, including fair value, amortised cost and hedge accounting and account postings, and with the Basel II capital adequacy proposals, including internal rates-based foundation and advanced approaches for credit risk capital calculations. It also added funds transfer pricing, net interest income calculation and Monte Carlo simulation to its asset and liability management application, support for compliance with UK and Bahrain regulations to its capital adequacy application and wider corporate finance coverage to its limits and credit risk exposure application.
Contact: Jean-Marc Desvaux
T: [phone]
E: [e-mail]
URL: www.fermat.fr

FINANCIALCAD
To its Fincad XL instrument modelling application for the Excel spreadsheet and Fincad Developer development toolkit, the company last year added support for credit derivatives, including credit default and total return swaps, credit spreads and default probability estimation. It also extended its Fincad.Net online risk assessment and analysis ASP to include scenario analysis and reports, with the ability to create interest rate, forex and commodity scenarios, use historical data to create historical scenarios, run scenarios with a portfolio of trades, and calculate market risk and profit and loss distributions with any combination of scenarios.
Contact: Bob Park
T: [phone]
E: [e-mail]
URL: www.fincad.com

FINANCIAL ENGINEERING ASSOCIATES
Version 3.1 of the company’s @Energy energy risk management analytics package, released in November, allows users to build and analyse volatility smiles for improved pricing accuracy, to develop sculpted strips for greater contract flexibility, and to construct swing-on-a-spread structures to better manage local price risks. FEA also released version 4.1 of its VaRworks value-at-risk package for market risk management, with new features including support for convertible bonds, expanded credit curve capabilities, and faster optimisation. And it launched VaRessentials, internet-delivered datasets for VAR calculations, which include volatilities and correlations calculated according to RiskMetrics guidelines.
Contact: Victor Villegas
T: [phone], x137
E: [e-mail]
URL: www.fea.com

FINANCIAL SOFTWARE SYSTEMS
MarginTrac is a new module that the company has added to its Spectrum treasury system to support the use of collateral agreements with counterparties, and includes collateral tracking, position tracking, real-time data collection and valuation, and margin calculation. The new TradeTrac module provides order, trading and margin management of foreign exchange instruments, while LimitTrac enables users to monitor exposures and limits by counterparty, country, trader, currency, product or portfolio. CashTrac is a module for wholesale and retail trading of banknotes, coins and foreign currency drafts, and users can manage banknote transactions at the vault, branch level or operator level.
Contact: Michael Snoek
T: [phone]
E: [e-mail]
URL: www.fssnet.com

FRONT CAPITAL SYSTEMS
The main areas where the company is enhancing its Arena cross asset sales, trading and risk management system include support for equity structured products, valuation tools for interest rate, credit and forex instruments, the ability to handle high volumes of forex and money market business, the processing of over-the-counter derivatives deals, and an extended general ledger to handle new asset classes. Electronic trading facilities now include integrated market-making, including derivatives, order execution, automatic trade capture to and from fixed-income markets, and advanced equity exchange-trading with index arbitrage trading, and automated execution of complex trading strategies.
Contact: Ingvill Houmb-Sjölin
T: [phone]
E: [e-mail]
URL: www.front.com

FT INTERACTIVE DATA
New features introduced last year by the company to its BondEdge fixed-income portfolio analysis system include a corporate bond credit risk module incorporating proprietary data on spread volatility with default probabilities, and credit default spreads from RiskMetrics Group’s CreditGrades product. It also added tracking error analysis and portfolio versus portfolio capabilities to its performance attribution module. Daily quality ratings from Standard & Poor’s and Moody’s now feed into the portfolio alert function, and there are new models for over-the-counter options and swaptions, an updated mortgage-backed securities prepayment model, and internet-delivered cashflows and analytics for collateralised mortgage obligations and asset-backed securities tranches.
Contact: Colin Ward
T: [phone]
E: [e-mail]
URL: www.bondedge.com

FXPRESS
With version 6.0 of the company’s foreign exchange exposure management and back-office system, it has introduced an optional commodities trading module, with front- to back-office processing of commodity hedges, including commodity exposure management, contract creation, confirmations, delivery netting, FAS 133 compliance and extensive reporting. The company also added straight-through processing for the Currenex and FXall forex trading platforms, including price quote requests direct from the contract creation screen, and booking of trades simultaneously to FXpress and Currenex or FXall. This year, it plans to release a web-based global exposure management module that will allow for remote entry and management of exposures.
Contact: Tom Gallagher
T: [phone] ext. 216
E: [e-mail]
URL: www.fxpress.com

GFI GROUP
Fenics FX 2002, the latest version of the company’s forex derivatives pricing application, has improved price discovery tools, more accurate and robust maths, multi-leg structuring tools, new volatility interpolations, more flexible integration tools and enhanced security. The company’s Fenics Energy 2002 release includes daily and monthly strip pricing, a forward curve builder, reporting on strategies and customised user screens. This year, the company plans to introduce Fenics Credit, a calculator for pricing and revaluing credit default swaps, including forward, option and cancellable instruments.
Contact: Michel Everaert
T: [phone]
E: [e-mail]
URL: www.gfigroup.com

IMAGINE SOFTWARE
Recent improvements to the company’s trading, risk and portfolio management system include a more accessible Java-based graphical user interface, the facility to reaggregate ledgers, a credit spread matrix for maintaining and quantifying credit agency ratings, and the ability to define conditions and events that will trigger an alarm or initiate processes. Users can also now create customised risk calculations that will vary factors such as underlying price and credit spread. The company has also improved the performance of the system through parallel processing.
Contact: Ray Krastins
T: [phone]
E: [e-mail]
URL: www.derivatives.com

INSIGHTFUL
In June, the company launched S+FinMetrics, an econometric application for modelling, analysing and visualising
financial market data. Features include time-series analysis and visualisation with data aggregation, missing value interpolation and technical indicators, rolling estimation and backtesting of strategies, multifactor modelling, support for extreme value theory and copula modelling, vector error correction models and state space modelling. It also launched a data-mining workbench with extensive data exploration techniques that can handle large, multi-dimensional datasets. Applications include optimisation of product and services cross-selling, predicting new product performance and market demand, churn modelling, credit and other risk analysis.
Contact: Mike Palmieri
T: [phone]
E: [e-mail]
URL: www.insightful.com

INTEGRITY TREASURY SOLUTIONS
In December, the company added support for value-at-risk calculations to the risk module of its integra-T.com treasury management system. Methodologies it supports include variance/covariance, Monte Carlo simulation and the company’s RiderNet method from its BoundaryRider integrated market and credit risk and limits monitoring system. The variance/covariance and RiderNet methods operate in real time, while Monte Carlo is an overnight batch process. Integra-T.com now also includes collateral management functionality, originally developed by the company for US financial services firm Charles Schwab, and includes the ability to value and track collateral and perform what-if trades to check against limits.
Contact: Nancy Johnston
T: [phone]
E: [e-mail]
URL: www.integra-t.com

IPS-SENDERO
The company recently introduced instrument-level processing to its asset and liability management (ALM) system to give more flexible and accurate modelling of embedded options in the balance sheet. It has also improved the spread and volatility analytics in its trading application, and integrated this and the ALM application with its data management system that consolidates data from multiple sources and allows users to examine, compare and evaluate the imported information. This year, it plans to expand its multi-currency modelling capabilities, transfer pricing analytics and interest rate simulation procedures, as well as improve overall stochastic simulation performance.
Contact: Chuck Rowland
T: [phone]
E: [e-mail]
URL: www.ips-sendero.com

IRIS INTEGRATED RISK MANAGEMENT
New features added to the company’s RiskPro modular enterprise financial analysis and risk management system in version 2.3 included support for the standardised approach of Basel II, potential exposure dynamic simulation, incremental value-at-risk and the automated creation of internal deals and cash management. This year, it plans to release version 2.4, which will offer support for the foundation and advanced internal rates-based approaches of Basel II, as well as expected loss estimation, enhancements of option functionality such as volatility term structure, the automatic assignment of funds transfer pricing rates, and support for compliance with the IAS 39 accounting regulations.
Contact: Lidia Suligoj
T: [phone]
E: [e-mail]
URL: www.iris.ch

KALAHARI
Kalahari added a new options pricing module to its Advanced Calculation Environment (k.A.C.E.) financial pricing and analytical system to cover caps and floors, straddles, strangles and swaptions. It also introduced a module to integrate the pricing of cash and on-balance-sheet instruments, as well as forward rate agreements and basis, interest rate and overnight swaps, and arbitraging between them all. To its k.A.C.E. Energy system, it has added a European power pricing module, and a gas module that includes option pricing and the ability to generate a gas pricing curve.
Contact: Graham Mansfield
Tel: [phone]
email: [e-mail]
Web: www.kalahari.co.uk

KAMAKURA
The company added credit analytics developed by its managing director of
research Robert Jarrow to its Risk Manager enterprise risk application, and completed the development of its KRM-tp option-adjusted transfer pricing module. It also launched a risk information service for default probabilities for a variety of frameworks, including the Jarrow reduced form, Jarrow-Chava and Merton, with data from a single source and over comparable time periods, and an option to purchase the functions and parameters that determine the default probabilities. This year, the company plans to introduce a new multi-factor equity model and a comprehensive limit management module.
Contact: Amit Matta
T: [phone]
E: [e-mail]
URL: www.kamakuraco.com

KIODEX
The company added an accounting tools module to its Risk Workbench energy risk management ASP. The module provides reports on hedges, hedged items and hedge relationships and accounting entries for compliance with the FAS 133 and IAS 39 standards. Other enhancements to the application include the ability to view counterparty credit exposure by counterparty, commodity, trade, book or portfolio, and the ability to break down and report on profit and loss by a variety of categories. This year, it plans to add support for foreign exchange and interest rate instruments, and enhanced transportation, storage and physical settlement capability for energy risk management.
Contact: Greg Henderson
T: [phone]
E: [e-mail]
URL: www.kiodex.com

KWI
Version 7.0 of KWI’s kW3000 energy trading and risk management system, released in September, extends the component and n-tier aspects of its architecture for improved performance and reliability. It also includes a number of enhancements for energy generators, retailers, etc (asset-centric) and traders, merchants, etc (trading-centric) users, such as improvements in the asset-centric server’s ability to optimise physical assets using KWI’s profit-at-risk methodology, and integration of credit risk management functionality from Raft International. This year, it plans to introduce a self-contained front-office module, and add new value-at-risk methods and support for the North American gas market.
Contact: Becky Luby
T: [phone]
E: [e-mail]
URL: www.kwi.com

LEXIFI TECHNOLOGIES
The ability to define and price a greater variety of structures and the automation of the processing of complex products were the focus last year of Lexifi’s enhancements to its MLFi Compiler, which implements the MLFi formal language for expressing sophisticated financial contracts. This year, it plans to allow users to explore the paths as contracts move from one state to another during their lifecycle, the ability to audit contract definitions in each state, and to view all formulas used to calculate payments, including netted payments.
Contact: Jean-Marc Eber
T: [phone]
E: [e-mail]
URL: www.lexifi.com

LOMBARD RISK MANAGEMENT
Last year, the company launched a number of modules for its FirmRisk web and component-based risk management system. The modules support value-at-risk benchmarking and stress testing, the calculation of volatilities and correlations from historic market data, and the management of collateral. It also launched information and data services under the ValuSpread banner, including credit pricing data from leading credit derivatives market makers, historical prices from a subset of the market makers, and a facility to generate credit benchmark curves. This quarter, it plans to launch ValuSpread Equity, a confidential service for firms to verify equity derivatives prices against their peers.
Contact: Len Fricker
T: [phone]
E: [e-mail]
URL: www.lombardrisk.com

THE MATHWORKS
In August, the company released COM Builder, a development tool for quickly generating and distributing software objects that comply with Microsoft’s Component Object Model using MathWorks’ MatLab mathematical software. The objects can be embedded in applications developed with Microsoft’s Visual Basic and .Net technology. This year, it plans to release Fixed Income Toolbox, a set of tools for modelling mortgage-backed securities, certificates of deposit, treasury bills and derivatives securities, as well as Java Builder, a development tool for generating and distributing software objects using the Java programming environment, and will upgrade its Statistics Toolbox.
Contact: Steve Wilcockson
T: [phone]
E: [e-mail]
URL: www.mathworks.co.uk

MB RISK MANAGEMENT
The company upgraded its full range of Universal Add-ins analytics last year, including those for convertibles, constant maturity swaps and swaptions, and interest rate derivatives, where it has added support for a number of exotics such as trigger knock-out/knock-in swaps and inverse floaters, captions, options on swaptions, callable range accrual dual currency quanto notes, and callable power reverse dual currency swaps and notes. It has also introduced convertibles data for major markets, which is available with analytics to perform scenario and stress analysis of portfolios, with links for importing trade positions and closing prices, and to back-office systems.
Contact: Mamdouh Barakat
T: [phone]
E: [e-mail]
URL: www.mbrm.com

MISYS INTERNATIONAL BANKING SYSTEMS
Version 5.0 of Misys’s Risk Vision risk management system, released in February, features a re-engineered architecture, with integrated components and a single database environment, and many functionality enhancements. Misys also extended the Carma risk engine of Risk Vision to include support for credit derivatives, automated calculation of economic capital, and the implementation of the marginal approach to capital allocation, which measures the change in economic capital with a small reduction in the individual risk source.
Contact: Helen Thirlway
T: [phone]
E: [e-mail]
URL: www.misys-ibs.com

MUREX
The company enhanced a number of modules of its Mx G2000 cross-asset, front- to back-office system and MLC limits platform, including adding support for more products and integrating convertibles into the credit framework of its credit derivatives module, and introducing an optimised calculation engine for high volume simulations to its interest rate derivatives module. It also introduced a new equity derivatives module aimed at fund structuring and released a new version of its energy and soft commodities module, including support for power derivatives. MLC now supports Basel II requirements and has enhanced authorisation workflow for limit excesses.
Contact: Gerard Rafie
T: [phone]
E: [e-mail]
URL: www.murex.com

NEW FRONTIER ADVISORS
The company’s portfolio management software includes resampled efficient portfolio optimisation and asset allocation, and rebalancing and monitoring tools. With version 3.2 of its tools, the company has made it simpler to upgrade data and options in saved Excel workbooks, improved reporting information in the risk and return estimation module including the calculation and presentation of the risk-free rate and the current risk-free rate used in the determination of forecasts, and made it simpler to update Bayesian input forecasts. The software now highlights assets that are not part of inputs, so the user need only include forecasts for the assets of interest.
Contact: Matthew Pierce
T: [phone]
E: [e-mail]
URL: www.newfrontieradvisors.com

NUMERIX
In December, the company introduced NX CR Engine, an application for modelling, pricing and managing the risk of credit derivatives and structured credit products, including credit default swaps, asset swaps, callable and puttable credit default swaps and credit-linked notes, callable portfolio swaps and credit portfolios with protection. The engine can operate on its own, or be integrated with in-house or third-party systems. Numerix also introduced a modular set of credit tools for building pricing and risk analytics for vanilla credit products, single-name exotics and basket credit derivatives, and other related applications.
Contacts: Lana Chin
T: [phone]
E: [e-mail]
URL: www.numerix.com

OPENLINK
In April, the company plans to release version 6.0 of its Findur trading and risk management system, which will include an op risk and capital calculation module, an asset and liability management module, new benchmark management capabilities, a configurable trading interface and enhanced real-time position management. It will extend product coverage to credit derivatives, collateralised mortgage obligations, bond futures, exchange-traded options and equity derivatives, and will add collateral management. Processing and back-office improvements will include new functionality for dividend and corporate actions, settlements, custodial transfer facilities and securities inventory.
Contact: Coleman Fung
T: [phone]
E: [e-mail]
URL: www.olf.com

PALISADE EUROPE
Version 4.5 of the company’s @Risk add-in for the Excel spreadsheet includes enhancements to the window for defining distributions, parameter setting for distributions, stress testing, sensitivity analysis and reporting. The alternate distribution parameters function now allows users to enter parameters as percentile values, which are treated as true Excel functions or as a combination of standard and percentile parameters. Users can now analyse the effects of stressing probability distributions by controlling the values sampled from a distribution. A set of pre-formatted reports that summarise risk analysis results is now available, and an accelerator function enables users to process data in parallel on multiprocessor machines.
Contact: Russell Curtis
T: [phone]
E: [e-mail]
URL: www.palisade-europe.com

PATSYSTEMS
The company has added cash-margined risk management to its exchange-traded derivatives trading system, added connectivity to a number of new exchanges such as OneChicago and Nymex, and introduced screen2pit, an application for routing orders to open-outcry exchanges. This year, it plans to increase the ability to scale-up the system and increase order throughput to support thousands of users. It will offer a choice of operating systems, trading screens tailored to different users such as market makers, brokers and retail, easier integration with external order routing and other systems, and improved reliability and disaster recovery.
Contact: Nick Garrow
T: [phone]
E: [e-mail]
URL: www.patsystems.com

PRINCIPIA PARTNERS
New features of the company’s eponymous front- to back-office system include advanced risk management customisation facilities, and front- to back-office processing of credit derivatives such as credit default swaps, options, digitals, swaptions and basket credit derivatives. Risk management facilities allow users to generate standard and proprietary risk measures with changes to default probabilities, recovery rates, credit volatility and correlations. Also available now are specific credit derivatives risk reports such as recovery rate sensitivity and sector exposure reports. A new securitisation framework provides accounting and administration support for special purpose vehicles such as asset-based commercial paper conduits and structured investment vehicles.
Contact: Gordon Chan
T: [phone]
E: [e-mail]
URL: www.principiapartners.com

QUANTITATIVE RISK MANAGEMENT
To its QRM asset and liability management system, the company recently added intranet loan pricing, which enables users on an organisation’s intranet to create customised loans, deposits and other products and get immediate transfer pricing quotes, capital allocations and expected returns. A credit risk module manages interest rate and credit risk for consumer and commercial products. The module will operate on its own or with the QRM ALM system. This year, QRM will introduce a distributed budgeting and forecasting module that uses the Excel spreadsheet and an organisation’s intranet to provide budgets and forecasters with access to sophisticated ALM analytics.
Contact: Charles Richard
T: [phone]
E: [e-mail]
URL: www.qrm.com

RAFT INTERNATIONAL
The company has extended its Radar operational risk management system to provide support for self assessment, processes and control management, capital modelling and allocation and cost per transaction calculations, in addition to existing functionality for loss-data collation, incident management and key risk indicators. In October, it announced a partnership with KWI to combine its application for measuring, capturing, mitigating and reporting credit risk in the energy markets with KWI’s kW3000 multi-commodity energy trading and risk management system. The combined systems will offer front- to back-
office support, with limit and collateral management and credit event workflow.
Contact: Derek Hall
Tel: [phone]
e-mail: [e-mail]
Web: www.raftinternational.com

REECH CAPITAL
New products from the company include Automatic Derivatives Pricer (Adep), which provides the value and risk parameters of derivatives from a description of the instrument in plain English, and RiskHedge, a risk management engine for the alternative investment market that can handle a range of asset classes and trade structures with flexible reporting and the ability to customise the system. The company also introduced the FastVal portfolio valuation system, which gives fair market values of trades, and models for pricing and hedging short-term exotic forex options, and for pricing long-dated swap transactions with cashflows linked to forex indexes.
Contact: Camilla Blench
T: [phone]
E: [e-mail]
URL: www.reech.com

REUTERS
To its Kondor+ trading and risk management system the company last year extended the coverage of interest rate derivatives to ratchets, choosers and other exotics, as well as added new pricing models, and the option of using third-party pricing models. It also extended coverage of the Latin American markets, and improved its cashflow management module with greater consistency across instrument types and better reporting. To its KreditNet global limits management application it added credit and settlement risk management and other features, and plans this year to enhance its collateral management, netting and historical analysis of limits use, and to introduce support for Basel II.
Contact: Michael Whitaker
T: [phone]
E: [e-mail]
URL: www.reuters.com

RISKMAP
Last year, the company introduced BankMap, a risk management system based on the company’s established risk engine and data service. The system handles proprietary and retail portfolios, integrates credit and market risk in a single framework, supports a range of structured and exotic products and offers high performance. Early this year, it plans to add a Monte Carlo-based financial planning module for retail wealth management. It also plans to launch QuantKit, a set of financial libraries based on the Quantlib open source project that it has supported, and for which a number of programming interfaces will be available.
Contact: Dario Cintioli
T: + 39 02 433 17510
E: [e-mail]
URL: www.riskmap.net

RISKMETRICS GROUP
Version 3.5 of the company’s RiskManager market risk application is now also available as an ASP, and includes among new features the ability to measure risk and tracking error contributions based on asset allocation versus security selection. Together with three major banks, the company released CreditGrades, an indicative credit spread calculated from equity prices, balance-sheet information and standard model assumptions. It also released updates of its CreditManager CreditMetrics-based credit risk management application, which is also now available as an ASP, and its CDOManager for measuring risk and assessing prices for collateralised debt obligations, and introduced a risk analysis platform for hedge funds.
Contact: Steve Harvey
T: [phone]
E: [e-mail]
URL: www.riskmetrics.com

ROLFE & NOLAN SYSTEMS
The company has been rolling out a new generation of its futures and options front to back-office technology, Merlin. Modules of the system are available on their own or integrated into a full system, and include trading and position management, margining, regulatory reporting, and cash and collateral management. It also introduced its RANorder automated order entry and management ASP to Europe. The system is aimed at brokers and supports remote client trade entry, pre-trade risk control, as well as order routing and management. New features of the system include the handling of parked orders and equity instruments, and expanded commodity codes.
Contact: Gary Delany
T: 44 (0)20 7847 6550
E: [e-mail]
URL: www.rolfeandnolan.com

SAP
MySAP Banking Basel II is the company’s new application for meeting the requirements of the proposed Basel II regulations, with a particular focus on credit risk management. It provides a historical database to calculate and validate credit risk parameters, includes an extendable data model, and supports the supervisory review and disclosure process as well as all Basel II capital calculation approaches. It can be integrated with the company’s new application for meeting the IAS 39 accounting regulations, which supports reporting at the single-entity and group levels, enabling integration of legal financial statements, currency translation, and consolidation of investments. Also runs on IBM OS/390-400.
Contact: Michael Mischker
T: [phone]
E: [e-mail]
URL: www.sap.com

SAS INSTITUTE
Last year, the company added support for extreme value theory with release 3.3 of its Risk Dimensions enterprise risk management system to enable users to more accurately evaluate low probability events. It also extended functionality for integrating third-party pricing libraries, and improved the system’s architecture to enhance performance. A new module, Curve Analyzer, enables users to interactively plot and explore risk factor curves, and to create scenarios of curve shifts and changes that can be used in scenario analyses. Functions for examining risk data from simulations have been improved, as have features for calculating risk measures, such as value-at-risk, credit-at-risk and earnings-at-risk.
Contact: Austin Trippensee
T: [phone]
E: [e-mail]
URL: www.sas.com

SAVVYSOFT
By summer, the company plans to release a cross-asset portfolio management system that will incorporate users’ pricing, calibration and curve-generation models, and will accept real-time historical data feeds from multiple data vendors. It has added 1,000 new issuers to its FutureDefaults implied default rates and yield curves service, and added a web-based graphing function. To its Tops analytics it has added new models for generating basis swap curves and pricing callable adjustable rate mortgages and other structured products.
Contact: LeeAnn Chen
T: [phone]
E: [e-mail]
URL: www.savvysoft.com

SCICOMP
This month, the company plans to release version 3.0 of its SciFinance system for automatically turning high-level specifications into derivatives pricing models, which will include a volatility calibration module and a facility to reuse C code. The updated SciMC Monte Carlo module will include a continuity correction for barriers and other external value path dependencies and improve control variates, the capability to calculate optimal hedges when the underlying processes are not Black-Scholes, and operators to enable users to concisely specify complex path dependencies. Version 3.0 will also introduce example specifications for valuing credit products such as collateralised synthetic obligations.
Contact: David Johansen
T: [phone] ext. 203
E: [e-mail]
URL: www.scicomp.com

SIMCORP
The company made a number of enhancements to its TMS2000 investment management system last year, including extending the front-office analytics to cover greater volumes and large benchmarks, such as the full MSCI benchmark, and the limit environment to handle Germany’s Capital Investment Companies Act requirements, as well as providing limit checks on pre-orders and pre-trades. The company is currently developing an integrated modelling concept for its performance module that will cover the import of external benchmark data through to the construction of model portfolios and rebalancing. Instruments supported by the system now include American and global depository receipts and variants of equity lending.
Contact: Claus Peter Jensen
T: [phone]
E: [e-mail]
URL: www.simcorp.com

SMART TRADE TECHNOLOGIES
Last year, the company enhanced its smartTrade execution engine to allow banks to integrate their own spread management and credit line allocation systems, extended the order types it will handle and added support for branch dealing. It also developed a new front-end and business components based on Microsoft’s C# programming language and .Net technology with the aim of enabling banks to create proprietary trading screens. A new version of the system due out later this year will provide integration for trading rules engines and make it easier to link with other decision- making tools.
Contact: Frédéric Kahn
T: [phone]
E: [e-mail]
URL: www.smart-trade.net

SOPHIS
The company has created a buy-side version of its Risque cross-asset, front to back-office system and called it Value. It covers the investment management process with straight-through processing, and includes modules for fund management, risk management with real-time consolidation of results and risks, and back-office functions such as automated settlement, confirmation and payment messages. This year, the company plans to introduce parametric value-at-risk, and performance and analysis and reporting modules. It also plans to enhance the portfolio and risk management elements of several of its Risque modules, such as those for fixed income and forex.
Contact: Tatiana Liber
T: [phone]
E: [e-mail]
URL: www.sophis.net

SUMMIT SYSTEMS
Last year, the company added a number of features to its eponymous system, including real-time cash management, user programmable straight-through processing workflow, automated payment functionality and support for meeting FAS 133 accounting requirements. E-Toolkit is a new suite of tools that enables users to quickly develop and deploy internet-based applications and services. Extended instrument support included equity options and commercial lending instruments, and advanced support for guaranteed investment contracts. This year, the company plans to introduce, among other things, a new customisable user interface, real-time profit and loss calculations, an interface to SwapsWire, and automated transaction fails processing.
Contact: Joe Bruno
T: [phone]
E: [e-mail]
URL: www.summithq.com

SUNGARD TRADING AND RISK SYSTEMS
Flexible hedging algorithms and extended instrument coverage including credit derivatives and multi-leg instruments were among the enhancements the company made to its Panorama trading and risk management system last year, while this year’s plans include reports on value-at-risk changing over time, scenario analysis nesting and predictive profit and loss. It has also extended support for credit derivatives in its Opus and Infinity trading and risk systems, while its Kronos business unit introduced Enterprise Console, a web-based front end that integrates risk and return results. Meanwhile, its BancWare Convergence 5 asset and liability management product now offers daily income simulation and market value calculations. SunGard's Credient is a Global Risk Management System that is at the heartof a banks' credit risk management framework, and as such will plays alarge role in processes that surround Basel II. Credient is employedglobally for Credit Risk by banks such as ING and WestLB.
Contact: Caroline Barr
T: [phone]
E: [e-mail]
URL: www.risk.sungard.com

TAMESIS
This quarter, the company plans to add a credit derivatives module to its Risk Informer real-time risk and profit and loss analytical system. The module will include pricing and trade capture, and will cover instruments such as credit swaps and collateralised debt and synthetic obligations, with support for creating and modelling highly structured trades. Meanwhile, the company has extended the trade capture and management functions of Risk Informer to allow traders to design structured products priced on a per- leg basis using existing analytics. The system also allows users to configure the way they want to view risks.
Contact: James Tomlin
T: [phone]
E: [e-mail]
URL: www.tamesis.com

TIETOENATOR FINANCIAL SOLUTIONS
New developments during 2002 of the company’s System10 treasury system include the implementation of cash management and enhancements to report generating, making it more user friendly and flexible. The company also introduced an ASP version of the system, and made its support desk more efficient. System10 includes tools for analysing forex and interest rate risks and positions in real time. Risks can be compared with benchmarks, with support for value-at-risk, stress testing and other types of what-if analysis. This year, the company plans to develop its general ledger module, revamp its user interface, and to further improve the cash management module.
Contact: Magnus Johansson
T: [phone]
E: [e-mail]
URL: www.system10.com

TRIPLE POINT TECHNOLOGY
Enhancements in version 2.0, released in June, of the company’s Power XL integrated physical and financial trading and risk management system for electricity, include power scheduling and financial settlement functions. The company also introduced Gas XL, a front- to back-office system for physical and financial gas trading, including futures, swaps, options and other derivatives. It offers real-time position management, trader profitability reporting, deal valuation, and sophisticated risk analysis. It automates confirmation and nomination processes, as well as the scheduling and movement of gas, the financial settlement of physical and financial transactions and the forecast and management of cash.
Contact: Amy Cheek
T: [phone]
E: [e-mail]
URL: www.tpt.com

UBITRADE
The company has enhanced the support for credit derivatives in its global trading system for fixed income, foreign exchange and equities, with functionality for pricing, position keeping, mark-to-market and event management, and enables credit derivatives to be used to mitigate risks in the credit risk and limit modules of the system. In response to the demand for support for cross-margining in markets where there is a central counterparty, the company has enhanced the margin engine of its straight-through processing system for listed derivatives, using a component technology approach, to enable access to a wide range of margin methods.
Contact: Didier Bouillard
T: [phone]
E: [e-mail]
URL: www.ubitrade.com

UNISYS/TECHHACKERS
To its @nalyst and QuantTools analytical product suite, the company last year added a performance module for statistical analysis of asset returns on funds as well as individual securities. It also enhanced a number of its other modules, such as adding duration and convexity functions to its index-linked gilts module, and price, yield, cashflow, accrued interest, duration and convexity functions to its treasury inflation protected securities module. To its forex module, it added the ability to compute effective maturity and spot value dates, and optimised the ability to compute implied volatility of options in its options and exotics module.
Contact: David Hafner
T: [phone]
E: [e-mail]
URL: www.thi.com

WALL STREET SYSTEMS
The company plans to extend the new interest rate derivatives module of its eponymous treasury system to include generalised scenario analysis, new quanto index-linked products, as well as new interest rate structures, such as barrier swaptions. The module covers option pricing, market data capture and analysis, risk management and portfolio management, with the straight-through processing of transactions. Pricing models supported include multiple term structure models for structured products. The company also plans to enhance its forex over-the-counter options module with support for new product types such as quanto, chooser and extendible options, and improved sensitivity analysis and performance.
Contact: Garfield Hayes
T: [phone]
E: [e-mail]
URL: www.wallstreetsystems.com

WILSHIRE ASSOCIATES
This year, the company plans to upgrade its suite of risk management software, including incorporating its global equity risk model into the risk performance attribution module of its Atlas system for active equity managers. The model will capture the increasing integration of regional equity markets, as well as using new measures of equity style to help explain the impact of active decisions on the portfolio. In addition, the company will introduce to Atlas and its Axiom fixed-income product evaluation tools such as trade scenario what-ifs to measure the potential impact on portfolio risk and tracking error of any trade or investment decisions.
Contact: Michael Olson
T: [phone]
E: [e-mail]
URL: www.wilshire.com

WOLFRAM RESEARCH
Version 4.2 of the company’s Mathematica mathematical software has updated features for linear programming, statistics and global optimisation, as well as support for the XML data standard and the Java technology environment.
New features added to its UnRisk derivatives analysis software include volatility term structure in the generalised Hull-White model, a facility for making market prices of liquid instruments such as caps and floors more replicable, an advanced calibration scheme for the identification of a Hull-White model from market data, and a new optional point-and-click front end in addition to the Mathematica or spreadsheet add-in front ends.
Contact: Andreas Lauschke
T: [phone]
E: [e-mail]
URL: www.wolfram.com

XENOMORPH
This month, the company plans to launch a suite of products based on its data management and analytics technology. TimeScape Data Services will provide data management that can be scaled up to the enterprise level for a wide range of instruments and real-time and historical data. TimeScape Connectivity Services will support the consolidation of market data sources, technology infrastructures and databases. TimeScape Pricing Services will enable the rapid deployment of new asset classes and pricing models. The company will offer versions of the technology tailored to business lines, such as equities, equity derivatives, convertible bonds, and fixed income.
Contact: Naoko Fader
T: [phone]
E: [e-mail]
URL: www.xenomorph.com

Risk