|
Solutions Overview
Scenario
The bank wanted a better way to manage the risk associated with the numerous hedge funds
to which it lends money. These funds, primarily equities based, invest in a wide variety
of instruments from all over the globe. The risk management software chosen - Askari's RiskBook
- had never been used with such an extensive database. The bank needed help in retrieving
the market data and implementing the system
Company Profile
One of the world's largest financial services companies. The bank's institutional customers
include pension funds, insurance and investment companies, mutual funds, endowments and
foundations.
Situation
The bank had a significant investment in a variety of hedge funds, but no way to determine
the risk associated with this investment. They decided to use the Askari RiskBook for analysis,
but needed a way to automatically retrieve and manage the millions of data points associated
with their positions.
|
|
- Willow Solutions was hired to assist in the implementation of a new
risk management application to help manage the risk associated with the banks numerous
hedge funds.
- Willow was also responsible for retrieving and managing the data
retrieval component of the system - not a small task as over one million data points
were required each day.
The Bank purchased the Askari RiskBook to calculate the risk of its custody client holdings.
RiskBook requires specific data elements including terms and conditions, interest rate histories,
and price histories, to perform its analyses. Willow was hired to build an automated data
retrieval system that will transfer positions along with the pertinent market data into
RiskBook's database. The data retrieval system, known as the Data Repository Filler, combines
RICs and positions from the internal database with the market data from Reuters 2000 and
Reuters 3000 datafeeds.
One of the difficulties encountered early on in the project was the lack of standard instrument
codes across the portfolios. This hurdle was overcome through the development of additional
program modules to query Reuters 3000 database for RIC codes. The next step was to determine
the specific fields required for risk analysis based upon the position type. Lastly, it
was decided to retrieve only incremental data as retrieval of the entire database was simply
too time consuming. Even with this change, large amounts of data were still required and
code routines were optimized to improve performance and speed.
Willow worked closely with the clients to build the necessary tables, retrieve the required
data and provide the necessary calculations, to the RiskBook. The end result: An automated
system that provides the bank with the information they need to manage their risk in the
hedge fund markets.
|
