Risk software survey 2015: speed, compliance and valuation

Regulatory change drives innovation, with valuation, centralisation and speed taking centre stage

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Code of conduct: regulatory compliance is high on companies' wishlists

In the past 12 months, technology firms have responded to increased regulatory pressure with high-speed upgrades, new tools and an increased focus on centralisation. See below for our annual roundup of the latest innovations and upcoming releases.

 

Algorithmica Research

In Quantlab 3.9, the Qlang compiler now generates code using non-minimal SSA form for faster performance, while the cross-asset framework for doing CSA multi-curve discounting has been overhauled. There is support for pricing CPI-linked instruments using seasonal adjustment models and extended support for using Qlang from C# supporting multi-threaded and serialised calls. Algorithmica Risk Management System 4.0 includes a new module supporting the Fundamental Review of the Trading Book risk framework, and there is extended support for using FpML for positions/transaction imports. Calculating CVA, DVA and PFE on clustered multi-CPU hardware has also been enhanced. Algorithmica History Server 4.9 offers a new data validation/cleansing GUI with support for yield curves, volatility surfaces and other complex market data types, and it supports new data feeds such as Markit, SIX and Nasdaq TIP.
Contact: Niclas Holm
E: [email protected]
T: +46 8 440 44 00
Web: www.algorithmica.com

Aquantec

Aquantec Ocean, aimed at risk managers, portfolio managers and traders in financial institutions such as banks, insurance companies, pension funds and financial advisories, is portfolio and risk management software comprising: portfolio data management; market data management; pricing; risk analysis; portfolio simulation; and reporting. Version 1.54 was released in October 2015.
Contact: Georg Meyer
E: [email protected]
T: +49 8 943 7777 980
Web: www.aquantec.com

Asset Control

AC Risk Data Manager (AC Plus module), servicing investment banks, universal banks, multilateral firms and central banks, enables risk data handling through a central set of controls, streamlining risk data management. It covers data sets such as yield curves, zero coupon curves, volatility surfaces and stress-test scenarios. With version 2.0, users can generate scenarios based on risk factors already in AC Plus or externally generated risk factor data. The new functionality enables management of scenario shocks through elements in the data model for regulatory stress testing. New features include a proxy instrument workflow, where users can define a proxy instrument for a single or group of instruments.
Contact: James Gilbert
E: [email protected]
T: +44 207 743 0330
Web: www.asset-control.com

AxiomSL

To address CCAR/stress testing, AxiomSL, aimed at all financial firms, is upgrading its ControllerView Platform, which provides direct integration with external systems (access vs load), data load, data validation, reconciliation, archiving, etc. In June it will also finalise development of its cloud/multi-tenant architecture. This offering will include options for pre-set data formats (tactical) as well as a fully blown custom data option. Clients will be able to pick any of the available reports/calculations as well as defining their own. In addition, users will be able to provide their own GUI for any step in data presentation (results, drill-down and sourcing). AxiomSL's Data Lineage product records all input data structures, data transformations and aggregations, as well as final reports in the metadata layer.
Contact: Francine Gittins
E: [email protected]
T: +1 914 648 8943
Web: www.axiomsl.com

Broadridge

Broadridge's credit and market risk management solution enables firms to manage, monitor and report on market and credit risk exposures for a range of portfolios across all asset classes. They can view the impact of deterministic, historical and predictive scenarios on any set of positions, portfolios and statistics, and calculate value-at-risk intraday (including marginal, incremental, component, conditional) on any set of positions or portfolios. Interest rate and credit-spread sensitivity analysis can be viewed as a matrix representing the aggregate sensitivity of any portfolio to each tenor point on each yield or credit curve. The operational risk solutions suite enables clients to manage and mitigate operational risk by permitting a detailed evaluation of the end-to-end trade life cycle and improving straight-through processing. The new version of Performance Analyzer was launched in January 2015, while the Benchmark Study was launched in October.
Contact: Vlad Berson
E: [email protected]
T: +1 212 973 6132
Web: www.Broadridge.com

Cassini Systems

The production version of Cassini Workbench, aimed at investment management firms, asset managers, corporates and insurance companies, was launched in the third quarter of 2015. Cassini is a web-based platform for OTC swap trading that allows traders to see the true cost and margin impacts of a trade before execution. It provides: what-if initial margin, including CCP and broker add-ons; what-if lifetime costs, including clearing and operational fees; identifies the best clearing broker and CCP for any trade; discovers better trades using other swaps or swap futures; selects cheapest-to-deliver collateral against any trade; and limits monitoring to ensure compliance with clearing agreements and regulations.
Contact: Liam Huxley
E: [email protected]
T: +1 917 691 3840
Web: www.cassinisystems.com

Central Bank of Kenya

The bank is conducting user acceptance testing of the latest version of its Grievance Redress Service (GRS), designed for corporate use within the main bank and its branch network.
Contact: Francis Ayiecha
E: [email protected]
T: +254 725 938 917
Web: www.centralbank.go.ke

Chase Cooper

aCCelerate GRC is a multilingual solution that can be deployed as a SAAS model on cc.Cloud hosted on Microsoft Azure or within a client's own infrastructure. It provides a single, interactive platform to manage GRC, with a focus on enterprise-wide operational risk. The Advanced Key Indicator (KI) module, launched in June 2015, integrates with corporate business structures, and enables continuous monitoring of control performance and risk exposure, while intuitive data linkages facilitate data analysis and a proactive GRC approach. The flexible tool is scalable from minimal initial deployment to unlimited users. The Real Time Risk Analytics module can be used for scenario analysis and stress testing, and to understand the sensitivity of the business to changes in the risk and control environment. The Real Time Capital Analytics module is used for regulatory capital calculations in accordance with Basel II guidelines.
Contact: Rohini Uppal
E: [email protected]
T: +44 207 377 2250
Web: www.chasecooper.com

Clarus Financial Technology

Clarus Charm provides risk and margin analytics for cleared interest rate derivatives at the major clearing houses. The next major release, in April 2016, will support the new BIS/Iosco margin requirements for non-centrally cleared derivatives. This will allow banks, hedge funds and asset managers to meet the regulatory requirements as they are introduced, and to transition to a common infrastructure for cleared and bilateral derivatives.
Contact: Amir Khwaja
E: [email protected]
T: +44 (0)7771 824036
Web: www.clarusft.com

ClusterSeven

ClusterSeven released a new version (9.0) of its flagship enterprise spreadsheet management system, aimed at all financial services (with particular focus on retail and investment banks, insurers, asset managers) plus the office of the CFO for processes such as Sarbanes-Oxley compliance, tax and treasury. Version 9.0 contains extended browser-based functionality with new, user-friendly interface elements and deeper collaborative workflow.
Contact: Henry Umney
E: [email protected]
T: +44 207 148 6270
Web: www.clusterseven.com

Derivitec

Derivitec Risk Portal is a web application, hosted in the cloud, to which pay-as-you-go users can upload their portfolios and run a rich set of risk reports, with supporting market data supplied at the end of the day. The application, aimed at hedge funds, prime brokers, fund of funds, fund administrators, hedge fund platforms and treasury systems, was extended to VAR reporting at the end of 2015, and will cover regulatory reporting over the course of 2016 on all asset classes.
Contact: George Kaye
E: [email protected]
T: +44 203 668 3682
Web: www.derivitec.com

FinAnalytica

Cognity version 5.0 extends holdings-based and returns-based innovation in buy-side market risk and portfolio construction analytics. New modules and enhancements include: pre-trade what-if analysis; factor-based risk and Brinson-style performance attribution; portfolio risk backtesting; returns-based style analysis; and support for positions on sub-portfolios that enable granular portfolio look-through views and roll-ups. Module extensions include stress testing, scenario reporting across what-if trades, active portfolios, factor impact decomposition and factor contribution. Cognity's multi-factor modelling framework now includes fundamental factor model integration with third-party models and bespoke fundamental models built internally by Cognity users. It also delivers new models and expanded instrument coverage in the foreign exchange exotic product space, including multi-asset derivatives.
Contact: Hank Lamour
E: [email protected]
T: +1 212 880 2662
Web: www.finanalytica.com

Fincad

Fincad provides multi-asset analytics for valuation and risk. Its solutions are designed to manage risk, reduce costs and comply with regulations. Fincad's analytics cover all instruments and asset classes, including exotics and hybrids, and the technology integrates seamlessly with clients' systems. The company's Universal Algorithmic Differentiation (UAD) enables fast calculation speed and accuracy for intraday risk. Clients include leading asset managers, hedge funds, insurers and banks. Recent enhancements include Shifted SABR for Negative Rates, faster modelling and curve-building workflow, and added coverage for MBS.
Contact: Rob Garfield
E: [email protected]
T: +1 646 435 5920
Web: www.fincad.com

Global Valuation

GVL, which creates software both in binary form and as a source code distribution, releases GVL Esther, an in-memory risk analytics system aimed at XVA calculations, including CVA, FVA and KVA, this month. Esther, aimed at first- and second-tier banks, can run nested simulations with billions of scenarios, compute holistic metrics requiring portfolio aggregation and supports all 2-factor pricing models. GVL Esther technology powers the Icap TriCalculate engine for CVA/FVA benchmarking. GVL Athena is a data service for calibrated models to be used with GVL Esther, distributed in a joint venture with Icap.
Contact: Gary Wong
E: [email protected]
T: + 44 203 170 7101
Web: www.global-valuation.com

Horizon Software

In 2015, Horizon announced two new modules for its algorithmic trading platform. The first was a customised version, allowing exchanges to use advanced volatility management tools that can permanently autofit volatilities, adjust them manually, price derivatives and set trading limits automatically for market participants. The second, Horizon Replayer, records and replays real-time market data, allowing financial institutions to replay an entire day of market data for stocks, futures, options, bonds, indexes and ETFs. This enables traders to test, benchmark and fine-tune algo strategies using real-time data, reducing risks, costs and time-to-market for algos, while providing proof of best execution for regulations such as RegNMS and MiFid. Both modules are aimed at both the buy and sell sides.
Contact: Sylvain Thieullent
E: [email protected]
T: +33 142 609 809
Web: www.hsoftware.com

IBM

AlgoOne, released in Q4 2015, is a single enterprise risk platform integrating multi-dimensional analytics, reporting, governance, and data management across all risk categories, balance sheet components and LOBs. It enables firms to gain insight into a multitude of activities, including: monitoring and analysing market, credit, liquidity and operational exposures; building more accurate and encompassing models via consolidation of trade and market history in a single analytics platform; allocating capital effectively across the platform; aggregation and reporting of regulatory and non-regulatory risks; using the cloud to deliver multiple risk data offerings such as derived data and simulations for both internal or external clients; and integrating with front-office pricing engines to offer common quantitative models across the enterprise for both traders and risk managers.
Contact: Melinda Wilson
E: [email protected]
T: +1 415 254 8478
Web: www.ibm.com/riskanalytics

Imagine Software

Imagine's newest innovation is a margin solution for hedge funds, brokers and treasury professionals. Managers can calculate the margin on a portfolio using various exchange rules, the prime broker ‘house rules', Reg T and the Tims margin calculation method used by OCC on US equity options. The platform delivers real-time pricing on every listed product globally, as well as OTC securities for essential intra-day analysis. The margin functionality is also integrated directly into Imagine's core risk engine for fast and reliable data and analytics. Clients have the vital ability to reconcile margin against brokers' reports – and ensure they do not exceed margins by performing stress tests such as: "What will my margin be if such-and-such occurs?" Clients can stress test up to multiple factors at a time, custom-build their own tests and create user-defined views.
Contact: Debra Douglas
E: [email protected]
T: +1 212 317 7615
Web: www.imaginesoftware.com

ITO 33

The company has added a new pricing front-end application to Opscore, its convertible bond and equity derivatives-pricing software. This can be used for convertible bond analysis, scenario simulations and market screening. The new method handles the soft-call and soft-put trigger periods, and provides improved theoretical values and sensitivities when the exercise of the call or put is likely to happen. The optionality of the settlement of the conversion in cash or physical shares can now be taken into account. Meanwhile, the Volatility Manager solution now features the ability to price vanilla options conditionally on spot and time. The user can provide both variables and the volatility surface adjusts according to the stochastic model. The products are targeted at banks and asset managers.
Contact: Marc Bory
E: [email protected]
T: +33 1 47 07 08 12
Web: www.ito33.com

Kalotay Analytics

Kalotay released three new products in 2015: Curvi-Linear is a software library that builds yield curves from bond prices, useful for building municipal market curves; FuturesVal is a software library that computes fair values and risk measures of exchange-traded futures contracts, based on sovereign bills and bonds in all major currencies; and ConvertVal is a software library for valuation and risk of plain vanilla fixed coupon convertible bonds with optional calls and puts. Target customers include banks and brokerages, traditional and alternative asset managers, non-financial corporations, exchanges and ATS, pricing services, financial technology firms, rating agencies and risk consulting providers.
Contact: Andrew Porter
E: [email protected]
T: +1 212 482 0900
Web: www.kalotay.com

Metamako

Metamako launched two new products last year. MetaApp builds on the functionality of other Metamako devices – MetaConnect 16, MetaConnect 48, MetaMux – allowing for easy development of applications by Metamako, third-party vendors and financial institutions. The tool aims to reduce latency, increase flexibility and simplify networks. MetaWatch is an application for MetaMux and MetaApp for simplifying tapping and aggregation, which the firm says can capture several seconds of data. It combines functionality on one device and timestamps with 2 nanosecond precision.
Contact: Alastair Richardson
E: [email protected]
T: +44 207 250 4740
Web: www.metamako.com

MetricStream

The MetricStream Risk Management Solution Suite provides an integrated and flexible framework for documenting and assessing risks, defining controls, identifying issues and implementing remediation plans. Key enhancements made in 2015 to strengthen risk management capabilities are: enhanced risk assessment capabilities; real-time GRC business intelligence on the cloud; and big data integration for risk analytics. The MetricStream solution portfolio now includes regulatory change management, spreadsheet control management and social media risk management apps. The firm has also worked in partnership with Cloud Security Alliance (CSA) to drive cloud and cyber-security risk management. Version 7.0 is due out in March 2016.
Contact: Molly Palm
E: [email protected]
T: +44 207 401 7968
Web: www.metricstream.com

Misys

Misys has been investing in strategic data aggregation, pricing engines and business intelligence dashboards to address the capacity, reporting and performance issues that banks are likely to experience with the introduction of regulations such as International Financial Reporting Standard 9 (IFRS 9), Fundamental Review of the Trading Book (FRTB) and standardised approach to counterparty credit risk (SA-CCR). For the trading book, FusionRisk has already released a package for SA-CCR, offering a consistent and compliant real-time solution. For FRTB, FusionCapital for pricing will address the computing power requirements that are expected to come from the market risk capital charge/FRTB-internal models approach, and the alignment needed between the front office and risk management, and can work across multiple front-office sources. For the new accounting standard IFRS 9, the Misys FusionRisk Impairment engine will be available in May 2016 and will bring consistency and better oversight to calculation, classification and measurement, and will allow for better visibility of processes, management and reporting of all amortised cost and cashflow related instruments affecting the balance sheet.
Contact: Elke Behrend
E: [email protected]
T: +44 203 320 5036
Web: www.misys.com

Mors Software

The firm introduced Accounting and Payments modules last year, enriching Mors Treasury Manager into a complete front-to-back solution. The company also delivered the first live integration of Mors Balance Sheet Manager, Mors Liquidity Manager and Mors Treasury Manager. This combination handles banking book items, along with treasury products enabling real-time monitoring and management of funding and liquidity-related risks for the entire bank. Mors solves challenges caused by market liquidity concerns and new directives such as: bank recovery and resolution directive; deposit guarantee schemes directive; interest rate risk in banking book; and supervisory review and evaluation process. The target audience is banks' treasury, risk management, liquidity management and ALM departments.
Contact: Mika Mustakallio
E: [email protected]
T: +358 9 6829 650
Web: www.morssoftware.com

Murex

Murex's roadmap serves two key objectives. The first is innovation – to keep the same depth and expertise across all post-crisis functions. For example: a multi-curve pricing framework; swap futures, credit index futures; the support of massive market data and operations volumes in complex analytics real-time calculation, real-time portfolio management, real-time VAR, and STP processing, thanks to a new business intelligence layer and various optimisation techniques; and a multimedia/web and mobile rendering layer. The second objective is to leverage the firm's homogeneous integrated architecture to support new transversal needs and services, with the introduction of: real-time margining calculation for CCPs and clearing brokers; enrichment of the end-to-end CVA trading and enterprise credit risk management solution; a new enterprise collateral and liquidity trading solution, allowing users to optimise the enterprise inventory connected to multiple data sources; and a new enterprise processing platform to centralise all cross-asset OTC and listed products post-trade processing.
Contact: Mireille Adebiyi
E: [email protected]
T: +33 144 053 200
Web: www.murex.com

NanoSpeed

Nano-Gateway, an FPGA trading gateway, halves the latency of NanoSpeed's first trading gateway, Nano-TG, launched in 2013. The new gateway includes order entry, pre-trade risk, market data and connectivity to 30+ exchanges. It offers load balancing for unusually large volumes of client-side orders, which are automatically balanced across more than 1,000 outgoing connections, maintaining low latency and determinism. Nano-Gateway offers up to 32,000 client-side trading connections, meaning thousands of algos can be run concurrently. NanoSpeed is used by investment banks, proprietary trading firms and hedge funds for HFT and automated trading.
Contact: Sanjay Shah
E: [email protected]
T: +44 207 096 0724
Web: www.nanospeed.co.uk

Nexus Risk Management

Nexus Risk Management enhanced two of its major software products in 2015. Nexus Risk Platform ALM Module manages and monitors multiple dimensions of interest rate risk and executes ALM strategies, including risk optimisation. A new optimisation engine now increases performance, while enhancements were made to help insurers better address the disconnect between economic and accounting measures, and algorithms for risk management of non-fixed income investments for insurers, including carve-out strategies. Nexus Risk Platform Dynamic Hedging Module is used to execute dynamic hedging strategies, monitor risk on a real-time basis, test the impact of hedge rebalancing and perform attribution analysis. In 2015, the module was adapted for the execution of customised risk management overlay strategies, including structured hedges. Additional analytics and automation are planned for 2016.
Contact: Charles Gilbert
E: [email protected]
T: +1 416 593 9500
Web: www.nexusrisk.com

Numerix

With Numerix XVA, on a single platform, users can access real-time pricing and risk for pre-trade decision support, XVA pricing adjustments (CVA/DVA, FVA, KVA, etc), market risk analytics such as VAR/ES and scenario analysis, as well as exposure measures for counterparty risk management. Core services are managed via a dashboard UI framework; managers can drill down/slice and dice large multi-dimensional datasets. Through the instant analysis, aggregation and visualisation of complex and dynamic data, users can compare results over various time periods, make what-if inquiries and achieve a timely view of enterprise-wide risk. Numerix's products are aimed at sell-side banks, buy-side/hedge funds/asset managers, insurance companies, corporate treasury and development banks.
Contact: James Jockle
E: [email protected]
T: +1 646 898 1263
Web: www.numerix.com

Principia

Principia launched a new service to help institutions perform their Dodd-Frank Act stress-testing valuations for adverse and severely adverse scenarios. It expanded capabilities for fixed-income issuance data and interest rate volatility calibration with release 7.3. In October, it launched a new subscription valuation service, pasVal. The service leverages the engine of Principia SFP to provide valuations, cashflow and risk reporting, and hedge-accounting services for complex interest rate derivatives. This simple online service provides the kind of sophisticated valuations that are usually only available from big system implementations. Principia SFP specifically serves investors in structured finance and capital markets and institutions managing portfolios of complex interest rate derivatives, while pasVal serves those needing valuations, risk and hedge-effectiveness reporting on complex interest rate derivatives.
Contact: Janet Jones
E: [email protected]
T: +1 212 480 2270
Web: www.ppllc.com

Prometeia Spa

Ermas 5 is a new risk and performance management solution, designed to be fully interactive and support real-time decision-making. New functionalities expected in 2016 are: the Ermas 5 interactive simulation module; the Ermas stress-test and capital-planning module; parallel data warehouse and in-memory technology; credit decision management and an IFRS 9 Compliance Module – a new solution supporting the calculation of expected losses and the application of hedge accounting schemes, according to new IFRS 9 criteria.
Contact: Massimo Pedroni
E: [email protected]
T: +44 207 786 3525
Web: www.prometeia.com/en

Quantifi

Version 13 of Quantifi's single integrated analytics, trading and risk platform incorporates several enhancements spanning technology, data management, trading, risk management and reporting. These include expanded product coverage, improved and extended front-office trading and connectivity, superior data management and second-generation margin analytics. This latest release is designed to further enhance performance and scalability, reduce operational risk, and help clients adapt to the new and rapidly changing market environment. For clients to be able to better manage and optimise CCP margin requirements, this latest release includes second-generation margin analytics.
Contact: Sachvir Cheema
E: [email protected]
T: +44 207 248 3593
Web: www.quantifisolutions.com

Quaternion Risk Management

Quaternion Risk Engine (QRE), aimed at banks, asset managers, hedge funds, insurers, pension funds and any institution requiring financial risk analytics, is open-source and transparent software for pricing and risk analysis. It has been used to benchmark Tier 1 investment bank exposure simulation methods for Basel capital calculation and CVA management. QRE's CVA Solution is integrated into UBS Delta's portfolio analysis and risk management system. The tool offers comprehensive risk analytics for market risk, credit risk, liquidity risk, economic capital, XVAs, CSA pricing and dynamic initial margin, liquidity forecast and stress testing. It provides transparency and extensibility, and methodologies such as Monte Carlo simulation and cross-asset market evolution, and multi-platform and multi-processor support.
Contact: Caroline Tonkin
E: [email protected]
T: +44 790 028 7361
Web: www.quaternion.com

Razor Risk Technologies

Razor's xVA module is due for launch in Q1 2016, when it will also roll out Margin Manager – a margin methodology comparison solution designed to enable simultaneous, fast evaluation of the best value for multiple products available in the market. In Q2 it releases Limit Management Workflow, an updated limit management solution that will be able to manage the complete enterprise and operational limit management business processes. In Q3 it will launch a redesigned version of its Portfolio Manager – a high-performance, flexible, rule-based portfolio mapping and aggregation solution, providing dynamic real-time recalculations of all portfolio hierarchies. The products are aimed at banks, exchanges and other financial institutions.
Contact: Robert Dykstra
E: [email protected]
T: +61 2 9236 9412
Web: www.tmxtechsolutions.com/razor-risk

Rockall Technologies

Rockall will release a new generation of Collate, its collateral management product, in the first quarter of 2016. The product, aimed at commercial and private banks offering secured lending, is both a replacement to Rockall's current product, Stoc, and a complete re-engineering to allow for UI-agnostic access. A bank will have the option to use either Collate's UI or access its business rules via published web services accessed from the bank's own UI. Collate also incorporates a new data model, adding even more flexibility.
Contact: Leslie Duckett
E: [email protected]
T: +353 1 487 3700
Web: www.rockalltech.com

S&P Capital IQ

In addition to the real-time, multi-asset risk and portfolio analytics and scenario analysis available in previous versions, S&P Capital IQ's Portfolio Risk now includes a suite of relative risk and performance analytics. These additions allow portfolio or risk managers to look backwards or forwards over time to analyse their holdings and portfolio performance under real or hypothetical conditions. Combined with an intuitive interface that allows users to quickly drill down or aggregate on any dimension, the reporting capabilities deliver timely information on risk and performance across the spectrum of internal and external audiences. Updates are ongoing, with the next due in March 2016. The solution is used by hedge funds, asset managers, banks and regulators globally.
Contact: Debbie Williams
E: [email protected]m
T: +1 508 433 0083
Web: www.spcapitaliq.com/portfoliorisk

SAP SE

In December 2015, SAP SE released SAP Basel III (Credit Risk), a major component of the Finance and Risk Data platform, based on in-memory technology, for retail and commercial banks. It also introduced improvements for compliance with BCBS 279 (SA-CCR). In the same month came the full release of SAP Hana, focusing on BCBS 239. The functional scope of the data model and access interface was extended to ease consumption by BI reporting and integration with any application. In Q1 2016, it is expanding its existing intraday liquidity coverage to meet regulation BCBS 248, providing more intraday liquidity analytics and stress-testing capabilities through a new easy-to-use UI. Then, in February, it will offer increased focus on EBA-driven regulatory requirements. Enhanced stress-testing functionality will be offered through an improved UI, and integration with FRDP will add choice as standalone or platform deployment. SAP SE will also provide a new app for loss capturing and event management. A partnership with Calypso has enabled it to sell and support an integrated platform for x-asset class trading, pricing, market and credit risk, clearing, settlement, collateral and accounting.
Contact: Simon Shores
E: [email protected]
T: +49 1 609 043 2654
Web: www.sap.com

SAS

SAS launched and updated many new products in 2015. The highlights were: SAS Model Risk Management, enabling institutions to organise a centralised model inventory; SAS Regulatory Risk Management, addressing the global adoption of Basel III; SAS Firmwide Risk for Solvency II, which performs risk analysis and risk-based capital calculations for insurers; and SAS Risk Data Aggregation and Reporting, aiming to help banks respond efficiently to enterprise risk analysis requirements such as BCBS 239, Basel III and stress testing. Finally, the SAS Stress Testing Solution Suite was designed around three complementary offerings: SAS Model Implementation Platform; SAS Stress Testing Workbench; and SAS Risk Modeling Workbench. The target audience is mostly financial services institutions, although an increasing number of non-financial organisations in the energy, transport and public services have taken an interest. SAS is also targeting firms requiring improvements in data management, modelling capabilities and visualisation.
Contact: Casey Novak
E: [email protected]
T: +1 919 531 2670
Web: www.sas.com

Savvysoft

Savvysoft's Tops range encompasses models and analytics for interest rates, equities, foreign exchange, commodities, convertibles, inflation, energy, electricity and credit derivatives. In 2015, Savvysoft added new convertibles models, including Decs, Percs, mandatory converts and hyperwarrants. It also added performance attribution for stock, foreign exchange and commodity options, vanilla bonds, bond options and swaptions, convertibles, along with OIS dual-curve caps and floors, and callable bond analytics. Savvysoft also added new features to its OTC BackTesting&Risk app, which runs on Bloomberg terminals, and added model integration based on Excel spreadsheets, with no programming required, to its Savvysoft Trading and Risk System.
Contact: LeeAnn Chen
E: [email protected]
T: +1 212 742 8677
Web: www.savvysoft.com

Software AG

The FX E-Commerce solution, aimed at Tier 1 and 2 banks, has seen improvements to its order management and auto-hedging strategies, and analytics-based pricing, as well as enhancements to the STP functionality. Performance scalability, throughput and latency have also been improved. Native integration with Software AG's Universal Messaging ESB provides high-performance messaging that extends out of the enterprise to clients, and provides a simpler technology stack with less ‘hops' and reductions in latency. Closer integration with Pre-Trade Risk and Market Surveillance offerings has been introduced, including out-of-the-box surveillance scenarios focusing on the foreign exchange market.
Contact: Nigel Farmer
E: [email protected]
T: +44 758 314 4630
Web: www.softwareag.com/corporate/default.asp

Thomson Reuters

This year's developments include the launch of App Studio in Eikon, allowing third-party developers to create apps that display as native applications on the Eikon screen, distributing them directly and securely to Eikon users. Meanwhile, Thomson Reuters Valuation Navigator is a software solution for rapid automation and customisation of reference data and pricing workflows, designed to enable back-, middle- and front-office teams to analyse and search across a wide range of complex data sources, compare multiple pricing options, and optimise valuation and risk activities. Thomson Reuters World-Check One added an Enhanced Case Manager and Media Search. The product is designed to help organisations during the know-your-customer client on-boarding process, ongoing monitoring and rescreening cycles. With features such as auto-resolution of matches, batch screening, and enhanced name-matching capabilities, the solution simplifies and accelerates the third-party risk management process.
Contact: Ellen Davis
E: [email protected]
T: +44 207 542 3478
Web: thomsonreuters.com

UBS Delta

In March, UBS Delta added a new multi-asset class risk model, including factor-based risk, historical simulation and Monte Carlo-based approaches. The model supports equities, FI, foreign exchange, commodities (including derivatives on all these), funds, real estate and infrastructure, and offers daily incremental risk factors with on-the-fly calibration. Support is provided for user-defined or third-party risk factors and for user-defined assets. In August the firm released a new next-generation performance module, with improved workflow catering to the specific needs of performance teams, a wider choice of attribution models, and improved benchmark support, with a wide range of natively supported indexes (iBoxx, MSCI, FTSE Gilt and Equity, BAML, etc). Target customers are asset managers, pension schemes, insurance companies, hedge funds, private banks, family offices, sovereign wealth and corporate treasury.

Contact: Lindsey Matthews
E: [email protected]
T: +44 207 568 0739
Web: www.ubs.com/delta

Volmaster

Volmaster API offers banks, funds, large corporates, consultants and auditors the opportunity to access the firm's pricing libraries. Even legacy systems can be enhanced and receive a performance boost by migrating into the SLV and SLV+J pricing models. Volmaster API can revalue derivatives at great speed on standard hardware (no grid computing required), and acts as a bridge towards other downstream systems by providing all relevant ticket information for further processing, facilitating the integration of its platform into an existing IT portfolio. The Volmaster Position Keeping/Simulation module is expected in mid-2016.
Contact: Stefano Silvano
E: [email protected]
T: +31 651 607 496
Web: www.volmaster.com

Wolters Kluwer Financial Services

Wolters Kluwer Financial Services' OneSumX Governance, Finance, Risk & Compliance (GFRC) suite of products brings together many of the organisation's risk, compliance and finance solutions, and brands into one ecosystem. Recent launches for OneSumX include the addition of anti-money laundering capabilities for Taiwan in September 2015. The firm offers expertise in the following risk areas: asset and liability management; credit risk; enterprise risk; financial crime control; GRC; integrated risk and finance; liquidity risk; market risk and operational risk. Clients include banks, asset managers and insurers, etc.
Contact: Paul Lyon
E: [email protected]
T: +44 207 539 6501
Web: www.wolterskluwerfs.com

Xcelerit

Xcelerit software, aimed at investment banks, insurance companies and asset managers, supports the deployment of real-time centralised XVA implementations for front and back office. Xcelerit's latest release features tight integration with IBM Platform Symphony grid software and allows Xcelerit-enabled applications to be deployed on computer grids. Xcelerit now also supports the latest GPUs from Nvidia. There will be several new launches in 2016, including a library to help quants deal with their XVA implementation challenges better.
Contact: John O'Brien
E: [email protected]
T: +44 208 528 1853
Web: www.xcelerit.com

ZEB

A new release, zeb.control.risk – ALM 5.0, offers a completely new architecture for the calculation kernel, which adds flexible ad hoc analysis to the various approved standard reports. This analysis allows clients to use any existing dimension (such as product structures or maturity) for analysis and even enables a drill-down to a single contract. New Bank for International Settlements requirements regarding capital requirements for interest rate risk in the banking book can be easily determined, as respective calculations and IRBB reports were included in version 5.0, released in Q4 2015. The tool is aimed at mid- to large-size banks and insurance companies.
Contact: Eric Tobias Henn
E: [email protected]
T: +49 251 9712 8315
Web: www.zebcontrol.com

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