Category: Risk Technology
In September, the company launched Clareti Transaction Control (CTC), a system that allows real-time, business-driven controls to be put in place as soon as a trade takes place, so that any errors can be identified and rectified immediately, preventing later potential discrepancies or loss events. CTC covers a wide range of transaction types and asset classes, including OTC derivatives. The system uses a grid-based cloud computing architecture with a business rules engine that allows users to input controls using business terminology rather than computing code. The low-latency, in-memory matching engine can process a high volume of transactions, the company claims.
Horizon Software has made several changes to its Horizon Derivative Trader trading platform, enhancing the algorithmic trading module and improving the global performance and scalability. The firm has also added a server component to its automated market-making module that allows users to manage the quoting of 300,000 different instruments simultaneously from a single workstation, with automated adjustment of pricing and quantities in real time, according to market conditions and executions in the market. Data visualisation technology helps provide real-time activity monitoring of large numbers of instruments in a user-friendly way, the company says.
In the first half of 2012, the company plans to extend the cash management functionality of its cloud-based Imagine 7 portfolio and risk management system, expand its data sources and add support for Bloomberg Open Symbology and the Open Protocol Enabling Risk Aggregation data exchange template for hedge fund risk information. It also plans to introduce a web-based risk aggregation portal, where it will act as an intermediary between investors and hedge funds, generating risk analytics and reports using actual position data while maintaining data confidentiality. A planned tool will enable users to quickly build customised extensions to the system.
ICRFS-Plus is probabilistic software for quantifying and managing non-life, long-tail liability risks. It covers loss reserving, pricing, capital allocation, reinsurance solutions and modelling of relationships between lines of business, segments and layers. Probabilistic models are critical to economic capital calculations, capital allocation, dynamic financial analysis and supporting Solvency II metrics.
Interactive Data has launched Vantage, a web-based system for viewing and managing fixed-income data. The tool displays relevant files, including end-of-day evaluated prices immediately upon their release, as well as tolerance and magnitude reports. After storing daily price-change tolerance settings, Vantage displays the portfolio in a colour-coded heat map, filtered and sorted according to clients' criteria. Users can visualise the company's evaluated prices alongside relevant market information, including anonymous trades, quotes, dealer runs and market posts, and access Interactive Data platforms including FundRun, 360View, FTS and the Evaluated Pricing Challenge Portal.
The company has added performance attribution and Solvency II modules to its Opscore pricing, hedging and analysis application for convertible securities. It has also enhanced the equity-to-credit link, as well as support for bank-contingent convertible bonds and warrants. Meanwhile, the pricing and hedging of S&P 500 index options, Vix futures and options and options on variance have been added to the Volatility Manager pricing and hedging application, based on a proprietary regime-switching model. The application also covers gap options and the pricing of non-recourse loans.
ITRS Group has added a module called Adaptive Rules to its Geneos real-time performance monitoring and management product, which uses client-defined rules to analyse and highlight similarities and differences in system behaviour, with alerts. The module dynamically adapts the rules to reflect previously monitored behaviour, the company claims. Meanwhile, Intraday Breach Predictor learns a ‘normal day' profile using historical data or a user-supplied model. Together with information on the current state of the monitored systems, this is used to make real-time predictions about whether a system will run within its operating parameters. If not, it will make predictions when a breach is likely to occur, the company says.
Version 7.3 of Kamakura Risk Manager (KRM) offers enhanced credit risk modelling and analysis, with dynamic macro factor-driven default intensities in stress testing and VAR analysis, simulation of default scenarios under time-based risk-factor scenarios, and stochastic recovery modelling. Enhanced VAR metrics include extreme value theory results. Portfolio dynamics modelling enhancements for multi-period simulations include redesigned asset and liability rebalancing and additional rollover functionality. Version 4 of the KRM Risk Portal provides web-based access to KRM, including interactive reporting using pre-defined portfolio performance and risk reports, and user-specified custom report queries and design.
Version 2.8 of the Kdb+ database includes improvements to memory handling, allowing more aggressive returning of unused memory to the operating system and support for streaming compression and dynamic appending of data to previously compressed files, the company says. It has also entered a partnership with Panopticon Software to integrate its visual data analysis software for real-time, complex event processing and historical time-series data with Kdb+, enabling the visualisation of large volumes of trade data in real time.
LexiFi has added support for a number of instruments across equities, commodities, foreign exchange, interest rates, inflation and credit, including hybrids, to the LexiFi Apropos platform for the valuation, analysis and management of structured products. The firm has also made a number of extensions to the product, including a multi-dimensional solver for the structuring tools. In addition, it has enhanced the modules for producing dynamic term sheets and performance reports, and for creating custom, internal and external workflows. It has also expanded the tools for managing and monitoring large portfolios of complex products.