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Special Report

Impact investing

Sections

Risk management providers

o Algorithmics
Algorithmics was set up in 1989 to develop risk management software.
It is based in Toronto, and has more than 140 clients in 26 countries.
Products: The company focuses on implementing risk management software for enterprises. Its enterprise risk management software Algo Suite, provides a platform for a comprehensive suite of integrated solutions based on an integrated, scalable and powerful architecture. These solutions include Algo Market, Algo Credit, Algo Collateral, Algo ALM (Asset Liability Management), Algo OpRisk, Algo Asset Management and Algo Energy. By calculating the optimal risk and reward trade-off across the enterprise.
At the heart of Algo Suite is Mark-to-Future, which allows market, credit, asset liability and operational risk to be integrated within a common enterprise- wide frame-work. It is a framework that links disparate sources of risk and provides a means for calculating the risk-reward trade-off within a single, unified framework. By explicitly incorporating the passage of time, the evolution of scenarios, and the dynamics of multiple portfolio holdings over time, Mark-to-Future provides a flexible and unifying platform for managing future risk, which supports a wide range of advanced analytical tools and risk measures.
New sources of risk, as well as innovations in risk management best practice, can be accommodated, so that financial institutions and regulators are not locked into a particular formulaic approach. Mark-to-Future’s extensible risk architecture can also be leveraged within one institution or across several disparate business units.
Mark-to-Future defines risk factor scenarios to compute future distributions of value. Because individual risk factors can evolve jointly and arbitrarily over time, Mark-to-Future allows users to capture the relationships between disparate sources of risk, over multiple time steps. For example, many financial disasters, including recent corporate failures, occurred because of the high correlation between market and credit risk in stress periods. Such occurrences are naturally modelled through scenarios where adverse changes in market conditions trigger adverse changes in credit quality.
185 Spadina Avenue, Toronto, Ontario, Canada, M5T 2C6
Tel: +1 416 217 1500
Fax: +1 416 971 6100
www.algorithmics.com
o ASKARI
Askari, founded in 1992 by Peter Davies, has evolved from a risk management adviser to a risk management solutions provider. It was acquired in 1998 by State Street Corporation.
Products: Askari’s main risk management products are RiskBook X and Truview. RiskBook X uses a unified, consistent analytical framework to generate multiple risk measurement results from a single process. Its client /server application leverages Microsoft technology standards, operating on a Windows NT platform and using the SQL Server relational database. Critical system calculations are enabled as DCOM processes, allowing them to be both parallel-processed and scripted for automatic, unattended operation.
All server processes can be distributed and centralised. Risk analyses can be carried out separately in multiple centres /agencies and on a consolidated basis without system configuration changes. The distributed processing capabilities enable instant scalability for computationally intensive tasks, such as large-scale simulations. Multiple project tasks can be accomplished concurrently because the system is constructed of component applications.
RiskBook X uses object-oriented technology to achieve functional enhancements. Using standard APIs, it can accommodate client-selected components. As a collection of component applications, the creation of risk measurements can be distinct from the usage of risk analysis.
RiskBook X uses risk management techniques that include simulation with historical, stochastic and deterministic scenarios to handle a broad range of financial risk measurement requirements, inclu-ding valuation, positions, market risk, credit risk, asset and liability risk, stress testing and Value at Risk (VaR) back-testing.
TruView, based on RiskBook technology, provides flexibility of analysis and integration across portfolios, complete product coverage and state-of-the-art Internet reporting. It models normal market behaviour as well as fat tails and other extreme events. It operates across the investment supply chain and provides a common language that enables the investment manager/or fund sponsor to define portfolio structure, monitor compliance with risk/return objectives and measure results.
TruView takes advantage of internet-based technologies to perform sophisticated analyses with the detail required for risk manage-ment decision-making. Clients can configure applications but also ‘para-meterise’ analyses to suit their par-ticular requirements.
1 Royal Exchange Steps, Royal Exchange, London EC3V 3RT
Tel: +44 (0) 171 369 4625
Fax: +44 (0) 171 369 4603
www.askari.com
o BARRA
Barra, set up in 1975, provides risk management systems and services to managers of portfolio and firm-wide investment risk. It is based in Berkeley, California and has over 1,200 clients in 30 countries.
Products: The Barra product suite is divided into portfolio and enterprise risk management products. Barra’s portfolio management products comprise the Barra Aegis System and the Barra Cosmos System.The Barra Aegis System analyses the components of equity portfolio risk and exposure to multiple factors that affect stock price movements. The Barra Cosmos System enables users to implement bond, derivative and currency strategies within complex, multi-currency, global fixed-income portfolios.
Barra’s enterprise risk management product, Barra TotalRisk, delivers complete management of firm-wide financial risk across all asset classes, geographies, and risk categories. It enables enterprises to analyse, monitor, report, and manage firm-wide risk, leveraging Barra’s risk modelling expertise, client services and sophisticated technology,
BarraOne is a web-based product that allows users to upload portfolios and examine risk over a secure internet connection. BarraOne pro-vides flexible risk reporting, sophisticated trade scenarios and detailed, customised breakdown of risk exposure in a familiar browser interface with no software install-ation or maintenance required.
Barra Risk Factor Analysis provides brokers, investment advisers and online brokerages with a tool to compare individual stocks to the broad market or to peers in the same sector or industry using a proven and objective standard of risk analysis.
The new Barra Integrated Model, a model for forecasting global risk, was launched last October. The model spans equity and fixed income instruments and enables investment managers, for the first time, to access and analyse risk at a granular local market level and across the global investment un-iverse using a single, multi-asset class risk model.
The new model is available through Barra’s new ASP web-based product BarraOne, its enterprise risk product Barra TotalRisk, or in flat file data format.
75 King William St,
London EC4N 7BE
Tel: +44 (0) 20 7283 2255
Fax: +44 (0) 20 7220 7555
www.barra.com
o GLOBEOP
GlobeOp Risk, a subsidiary of New York-based GlobeOp Financial Services, provides independent risk analysis and quantification to in-vestors, creditors and managers. GlobeOp Risk Services offers risk analysis and reporting services to the hedge fund industry.
GlobeOp Risk Services are bespoke and fully flexible, and focus on data acquisition and reconciliation, modelling of any financial assets and relative value strategies under any distribution assumption, reporting and delivery channel.
Services: Data collection and recon-ciliation, including trade-by-trade position data (collected from prime brokers and counterparties), security master data, and price data as used to compute net asset value (NAV); historical data management of all relevant data. Interactive web-based delivery tools, including drill-down capabilities, and ‘what if’ analysis.
Analysis, including position and concentration reporting across asset classes, market sectors, entities or any relevant custom descriptor; risk exposure measurement for all types of products traded by hedge funds; computation of ‘equivalent’ portfolio which gives a concise representation of the risk portfolio; Value at Risk (VaR) analysis in-cluding simple covariance approach, multi-step Monte Carlo simulation (both historical and forward looking) based on normal /lognormal/jump diffusion or any other distributional assumption; a consistent framework for market risk, credit risk, liquidity risk, and strategy risk assessment; perfor-mance evaluation versus bench-marks, profit and loss attribution; back testing of VaR analysis using historical market data and trading positions; horizon analysis including dynamic strategy simulation and strategy risks; scenario analysis, including both historical and ad-hoc scenario generation; stress testing of market and credit risk factors, and stress testing of correlation assump-tions; and diversification breakdown analysis.
Modelling, including market and credit risk tailor modelling for par-ticular hedge fund strategies involving any type of asset; asset liquidity risk modelling including modeling of bid-offer spreads as functions of a market’s depth and volume; funding liquidity risk modeling under market funding crisis, including horizon dynamic simulation of working capital risk; style modeling of hedge fund managers, including modeling of style drift.
110 Park Street, 4th floor,
London W1K 6NX
Tel: +44 (0) 20 7659 6600
Fax: +44 (0) 20 7659 6601
Tel: +44 (0) 20 7659 6615
www.@globeop.com
o MEASURISK
Measurisk provides institutional investors and plan sponsors with risk analysis using industry-standard methodology including VAR mea-surements. Measurisk’s risk analysis solution is geared to provide clients with risk measures to monitor and manage their investment portfolios.
Measurisk provides pension plans with a service specifically designed for a multi-asset class, multi-cur-rency portfolio. It handles all the data scrubbing (often 90% of the work involved in producing a risk report), and has tailored the analysis to provide key risk and stress testing information at both the manager level and the total plan view. All the analysis is done at a security level to provide the most accurate assess-ment of current risk. For managers, risk is calculated both in isolation as well as versus a major benchmark. Measurisk’s plan level reporting includes risk versus a plan’s policy, as well as gap risk, that is, the risk versus liabilities.
Products: InterSight, Measurisk’s flagship web-enabled service pro-vides interactive risk analysis and reporting capabilities designed to facilitate transparency and com-pliance with market best practices. It allows clients to dynamically calculate risk and generate customised reporting.
RiskUniverse, a joint offering by Measurisk and Russell Mellon Analytical Services, provides a web-based service to evaluate risk for Russell manager universes and equity index benchmarks. Risk and return is reported relative to market benchmarks and for style-based manager universes. Using Mea-surisk’s InterSight service, funds can assess individual fund risk levels relative to their industry peers, based on quartile rankings and range of risk within style categories.
OpVision, developed in con-junction with KPMG, is a qualitative, self-assessment frame-work (with quantitative scoring parameters) to facilitate the iden-tification and management of opera-tional risk. It measures op-erational risk via a self-assessment question-naire with a quantitative self-scoring mechanism and interactive feedback delivery.
331 Madison Avenue, Suite 510,
New York, NY 10017
Fax: (212) 599-6490; (888) 202-5103;
(212) 697-3624
www.measurisk.com
o REECH CAPITAL
Reech Capital was set up in 1999 to meet the growing demand by end-users for expert support in dealing with the technical business of derivatives and risk management.
Products: RiskHedge, introduced in 2002, is a risk management engine for the hedge fund market. It is capable of handling a wide range of asset classes and trade structures as well as offering reporting custom-isation. It allows strategy and exposure, value at risk, strategy, country and sector risk and perfor-mance attribution, all to be monitored.
eVaR+ is a generic risk solution, delivered as an ASP product and built on Reech’s proprietary pricing models. The application allows users to design, manipulate and analyse information in a flexible fashion.
GVaR+ is an advanced risk engine specifically designed for the securities finance industry. It is delivered within the GLOBAL ONE Enter-prise infrastructure on an ASP basis.
Adep is a pricing system that understands and analyses the description of any financial product and instantly provides its value and risk management parameters.
FastVal+ enables derivatives users to compute the fair value of portfolios containing any product from cash equities to complex exotics.
SLStudio is a set of analysis, pricing and trading tools providing securities lending players with fair value pricing for risk arbitrage and convertible arbitrage trading.
3rd Floor, St Helens, 1 Undershaft, London EC3P 3DQ
+44 (0)207 623 6333
+44 (0)207 623 8899
www.reech.com
o RISKMAP
RiskMap provides a number of advanced risk-management products for banks, private-banking managers, as well as institutional and retail investors. The core financial risk engine is based on an advanced form of the well known historical-simulation model.
One of the major innovations of RiskMap is that the pricing of the complex financial products is based an innovative international project, Quantlib. QuantLib is an open-source free financial library that many people use and develop. The aim of QuantLib is to become the standard in financial modelling for the years to come.
Products: BankMap is the product for banks and fund management companies. The system is installed locally at the bank and obtains preprocessed data from RiskMap through the internet. This solution grants data security.
BankMap covers many financial products together with a range of over-the-counter products. Once integrated with an existing third-party data-warehouses, BankMap allows an immediate access to an effective risk management.
InvestorMap is for professional asset managers. This product is already integrated into the well-established portfolio-management solutions of our partner software houses.
The advantage for the final users is that they have a ready-to-use risk management module, integrated with portfolio data and with the portfolio management solution that they normally use.
R-Online is the solution for private investors. It is marketed to financial institutions on the benefit of their financial advisors and retail clients. This solution offers, together with the risk management module, a financial planning module with fast portfolio optimisation functions.
Via G. B. Vico 4, I-20123 Milan, Italy
Tel: +39 02 43317510
fax: +39 02 43911424
www.riskmap.it
o RISKMETRICS
Formerly a division of J P Morgan, the RiskMetrics Group was spun off as an independent company in 1998. RiskMetrics Group’s analytics, technology, services, and data are used by the world’s largest banks, hedge funds, asset managers, financial advisors, insurance companies, brokerage houses, corporations, and many of the world’s central banks.
Products: RiskManager helps pension fund managers who actively manage their investment portfolio. It is a ready-built system that delivers RiskServer technology with a front-end interface that offers real-time interactive reports and graphs, what-if generation, and interactive drilldown analysis. Combined with the DataMetrics data service, which provides daily data on the full range of global market risk factors - in all, over 100,000 time series across multiple asset types – designed to provide a complete picture of risk.
RiskManager helps manage risk across the entire fund – across asset classes and markets or by individual portfolios against their respective benchmarks. This gives investment officers the ability to manage risk and performance from bottom-up, starting from the individual security to the entire fund.
RiskServer, the core of the group’s market risk solutions, is an Internet/XML-based risk engine designed for custom integration into an existing risk management trade-capture or straight-through processing system.
PensionMetrics is a risk management tool specifically designed for the longer time horizons needed by pension fund managers. The short-term horizon of traditional VaR is extended by our new PensionMetrics metho-dology to a strategic time horizon (three months to one year). It allows pension funds to answer questions such as: How much risk is the manager taking? How much risk is contributed by the indices? What are the chances that the plan will be underfunded next year? How would a change of allocation affect the plan’s risk/return profile?
CreditManager and CDOManager have been designed for pension funds with large fixed income portfolios.
92 Fleet Street, St. Bartholomew House, London EC4Y 1DG
Tel: +44 (0) 20 7842 0260
www.riskmetrics.com
o SUNGARD
SunGard Trading and Risk Systems, an operating group of SunGard, provides integrated, enterprise-wide solutions for financial and energy trading, risk management and operations, as well as asset liability management and financial planning and forecasting. It offers Web-enabled solutions for achieving straight-through processing, and for managing market, credit and operational risk.
Products: Panorama is a real-time, straight-through trading, portfolio analysis, risk management and processing solution. Panorama’s portfolio analytics are used at the desk and enterprise level for a consistent view of market and credit risk across an organisation. For hedge funds and asset managers, Panorama provides cross-asset trading tools that streamline trading performance and support high volumes.
Infinity is a complete trading and risk management solution with integrated support for credit derivatives. The solution provides a performance driven distributed processing environment to support high volume trading and integrated market and credit risk management.
Kronos Risk is a next generation solution for real-time risk management. The combination of performance, usability and extensibility makes it possible to deliver real-time risk analyses to traders and managers.
SunGard Collateral 360 is a structured, step-by-step approach to building a collateral management function. It provides a full perspective on collateral management by incorporating core operational and technology considerations as well as vital related aspects such as credit risk management, capital allocation, crisis management and risk control.
The Credient Credit Risk Control Service is the finance industry’s first enterprise-scale credit risk application service provider (ASP). Credient brings together global credit exposure aggregation and limits management, credit risk analytics, collateral management and web-based communications within one global ASP framework.
Opus is a credit derivative and interest rate derivative trading and risk management solution. It supports a range of structured products, credit linked, interest rate, and FX derivatives, including over 35 types of credit derivative and securitised instruments. It facilitates the management of complex deals, curve customisation, credit exposure management and risk evaluation.
Exchequer Court, 33 St Mary Axe, London EC3A 8AA
Tel: +44 (0) 20 7337 6000
Fax: +44 (0) 20 7337 6010
www.risk.sungard.com
o WILSHIRE
Wilshire Associates provides investment decision making tools to support the work of investment managers, fund sponsors, and financial planners. Software applications analyse equity and fixed income portfolios, and offer tools to assist in the portfolio management process. The major features of Wilshire’s investment services include risk management, asset allocation, attribution analysis, portfolio trading, performance measurement, and marketing support.
Products: The Wilshire Abacus is a comprehensive multi-currency performance measurement system. It fulfills all internal and external reporting requirements from the back office to the front office and for all levels of performance data including analysis and attribution. Abacus meets industry performance reporting standards and has a custom report writer with flexible graphics.
It includes fully-integrated, multi-currency, daily performance measurement; AIMR/GIPS compliant return calculations and composite builder; and comprehensive accounting capabilities with links to any third-party accounting package.
The Wilshire Atlas provides an integrated collection of tools to manage global equity portfolios for active strategies. It eliminates the need for multiple analytic systems by combining Wilshire’s equity security database with flexible analytic modules engineered to accommodate the investment manager’s portfolio reporting needs.
Features include daily performance attribution, risk analysis, portfolio simulation and optimisation.
The Wilshire Axiom is a single integrated system for global fixed income risk and performance analytics. Clients can do the measure term structure and spread risk for global and single-currency portfolios and produce reports that pinpoint the true results of the investment decision-making process. The Wilshire Axiom incorporates full-OAS analysis, multi-factor covariance-based risk modeling, and a database of over 1.1m global fixed income securities.
The Wilshire iQuantum is a web-based tool that delivers performance attribution, risk management, and fundamental analysis for US equity portfolios. iQuantum’s attribution model measures exposures to critical market factors and quantifies risk and return resulting from portfolio/ benchmark differentials. Portfolios can be analysed using real-time data.
The Wilshire Spectrum builds on the capabilities of the Wilshire Atlas and the Wilshire Axiom to analyse total capital market risk and attribute total fund performance in a global covariance framework.
199 Bishopsgate, London, EC2M 3TY
Tel: +44 (0) 20 7814 7355
Fax: +44 (0) 20 7814 7356
www.wilshire.com
o XENOMORPH
Xenomorph was formed in 1995 to meet the demand for high performance data storage and analysis software capable of handling the volume of complex data required to trade successfully in the equity, fixed income and derivative markets.
Products: The Xenomorph Data Analysis & Integration System contains Xenomorph Database (XDB) technology for the analysis of historic time series data. The Xenomorph Instrument Risk System and the Xenomorph Yield Curve Analysis System form a calculation server architecture for the scaleable delivery of enterprise-wide derivative and fixed income pricing.
This technology provides a framework for rapid development of decision-support applications for trading and risk management purposes: PerfectVine is a new trading and risk management software application for hedge funds. It is a flexible, high performance solution for hedge fund managers of all trading styles. PerfectVine automates and streamlines the identification of trading opportunities, pricing, trade capture, position keeping, strategy analysis, P&L, risk management and reporting.
The Xenomorph Yield Curve Analysis System is a suite of applications and interfaces which allow traders and risk managers to perform historic analysis of interest rate yield curves using an unlimited number of models of choice. Curves can be created and modified with definitions dynamically changing over time.
The Xenomorph Instrument Risk System is a suite of applications and interfaces which allows historical and real-time pricing and risk analysis of derivatives, cash securities and interest rate products. The system uses Microsoft COM and Xenomorph Database (XDB) technology to combine instrument and market data from sources such as Reuters, Bloomberg and FAME with pricing models from major vendors such as TechHackers, MBRM and MONIS.
The Xenomorph Data Analysis & Integration System is a suite of applications and interfaces which allows easy integration of third-party or in-house option analytics, a choice of connectivity to major market data feeds and high performance storage in a specialist Windows NT/2000 time series database.
The system can be used ready-to-run for volatility, correlation, basket and dividend analysis or as a toolkit of financial functionality for building proprietary analysis tools in a timeframe that reflects business needs.
Ground Floor, Woodcock House,
High Street, Wimbledon Village,
London SW19 5BY
Tel: +44 (0) 208 971 0080
Fax: +44 (0) 208 971 0081
www.xenomorph.com

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