AFTAs 2016: Best Middle-Office Initiative: Risk, Compliance and Performance—UBS Delta

But the team is not one to rest on its laurels-and it has many, including being named as the best overall technology provider for 2016 at last year's Buy-Side Technology Awards. It now has one more gong: the AFTA in the best middle-office initiative-risk, compliance and performance category.

UBS Delta believes the key to managing risk and performance is being able to analyze them together using the same core data and market drivers with consistent classifications. To this end, in 2016 UBS Delta released its new performance attribution model and enhanced the way that clients calculate and apply performance attribution.

The platform now saves portfolio returns to ensure calculation repeatability, according to the Swiss bank. While it saves portfolio returns, it goes beyond that and saves asset-level returns and sensitivities, too. This is unique and means that it saves price returns, DV01 calculations, IE01 sensitivity measurements, Vega risk and Greeks metrics for each asset on a daily basis. Without this information, no performance system can guarantee that attribution is reproducible, according to UBS. And through the release, attribution can now be rerun and resliced by any category—user-defined or otherwise—without recalculation, which improves the speed and accuracy of these outputs. The flexibility of the model allows clients to choose their views with relative, absolute or attribution values available, according to UBS Delta.

Also in 2016, UBS Delta released its new risk model. Enhancements include a dynamic covariance matrix parametric model, an upgraded historical value at risk (VaR) model, and a new Monte Carlo simulator. The parametric model, in particular, allows users to choose the calibration period and settings used to generate the covariance matrix—with the ability to add their own risk factors and extract the entire matrix for use outside of Delta—within clients’ own models, according to the firm.

UBS is looking to make further inroads in 2017 in light of Bloomberg’s August 2016 acquisition of the Barclays Point portfolio analytics platform, which will be integrated into Bloomberg Port, the firm’s portfolio and risk analytics offering. As a starting point, UBS has already upgraded its historical VaR model to include an optional proportional spread driver, a move that is likely to be followed up by a number of enhancements during 2017. 

While it saves portfolio returns, it goes beyond that and saves asset-level returns and sensitivities, too. This is unique and means that it saves price returns, DV01 calculations, IE01 sensitivity measurements, Vega risk and Greeks metrics for each asset on a daily basis.