BST Awards 2018: Best Buy-Side Risk Management Initiative over the Last 12 Months—StatPro
Portfolio data and analytics provider StatPro has snatched the title of the best buy-side risk management initiative over the last 12 months at this year’s awards from last year’s winner, RiskVal. This is the second time StatPro has bagged this award since 2014, thanks to the new Risk Driver Decomposition (RDD) analysis functionality it launched earlier in the year.
The RDD service helps clients to understand and actively manage their sources of risk. RDD offers deeper risk attribution capabilities through StatPro’s reporting engine that delivers analytics in Microsoft Excel, PDF and other report formats, according to the London-based firm.
Damian Handzy, global head of risk at StatPro, says RDD was developed as a result of several interactions with clients asking for more detail behind the contributions to value at risk (VaR) measures. “But unlike typical conditional VaR approaches, which allocate different amounts of risk to sub-portfolios, StatPro’s RDD answers fundamental questions about the market sources of risk,” Handzy explains. “RDD specifies how much risk comes from, for example, specific tenors of interest rates and credit spreads, and answers questions like ‘how much sensitivity do I have to sovereign credit spreads or manufacturing company three-month rates?’”
Handzy adds that the most challenging aspect of analyzing underlying sources of risk is assigning the risk to a linear combination of interpretable driver inputs. “In other words, re-writing the risk equation in the form: risk = driver 1 + driver 2 + driver 3, etc.,” he says. This is difficult to do for securities with complicated pricing functions as the drivers are not cleanly separable. StatPro uses a machine-learning algorithm, specifically the Multivariate Adaptive Regression Spline (Mars) technique to address this challenge. Mars isolates the effect of each risk driver individually and simplifies the calculation. “The Mars approach uses a piecewise linear basis function to approximate the pricing function,” he says.
Next year, StatPro will include RDD analysis in its flagship platform, Revolution, where clients can configure their own analytics dashboard including RDD. Handzy says this will allow for direct comparisons of performance drivers to risk drivers, which is a critical part of risk budgeting and portfolio allocations. By comparing performance earned with risk consumed, managers can better position their portfolios for profit generation, he adds.
StatPro’s risk analysis has several advancements that it will put into production over the course of the next 12 months. These include fixed-income attribution including multi-asset capability; liquidity risk—time to liquidate; fundamental factor models for global, US, European, UK and South African portfolios; and next-generation credit curves across a global spectrum of institutional bond issuers and currencies.
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@waterstechnology.com or view our subscription options here: http://subscriptions.waterstechnology.com/subscribe
You are currently unable to print this content. Please contact info@waterstechnology.com to find out more.
You are currently unable to copy this content. Please contact info@waterstechnology.com to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@waterstechnology.com
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@waterstechnology.com
More on Awards & Rankings
Witad Awards 2024: Technology innovator of the year (vendor)—Christy Bremner, SS&C Technologies
Christy Bremner, senior vice president, Institutional & Investment Management (I&IM) division at SS&C Technologies, wins technology innovator of the year (vendor) in the 2024 Women in Technology and Data Awards.
Witad Awards 2024: EDM professional of the year—Neslihan Yegul, S&P Global Market Intelligence
Neslihan Yegul, vice president, head of EDM and thinkFolio at S&P Global Market Intelligence, wins EDM professional of the year in the 2024 Women in Technology and Data Awards.
Witad Awards 2024: Technology innovator of the year (end-user)—Laura Hamilton, Bank of America
Laura Hamilton, global head of corporate treasury, credit risk, climate risk, and financial forecasting technology at Bank of America, wins technology innovator of the year (end-user) in the 2024 Women in Technology and Data Awards.
Witad Awards 2024: Vendor professional of the year (data and operations)—Joanna Davies, OSTTRA
Joanna Davies, head of trade processing at OSTTRA, wins vendor professional of the year (data and operations) in the 2024 Women in Technology and Data Awards.
Sell-Side Technology Awards 2024: Best sell-side front-office platform—Bloomberg
Product: Bloomberg TOMS
Most read
- Chris Edmonds takes the reins at ICE Fixed Income and Data Services
- Deutsche Börse democratizes data with Marketplace offering
- Waters Wavelength Podcast: Broadridge’s Joseph Lo on GPTs