Portfolio Analytic System*

Business Problems:

The client is a multi-billion dollar hedge fund. The portfolio and trade-level information were kept in isolated systems. P&L information was not well integrated with the risk information.

Solutions and Achievements:

We developed a system that gives holistic view of all portfolios in the firm including P&L, AUM, by department, and all risk measures (VaR, all Greeks, DV01, stress loss, and proprietary risk metrics). Aggregations are taken by portfolios, types of evaluations, trading desks, product types, and currency types.

Technical Details:

  • Cover fixed income and equity trading
  • Fixed income products include MBS, ABS, Agency, Bonds, and other derivatives
  • Calculate VaR, all Greeks, DV01, and proprietary risk measures
  • Java-based systems, interface with risk metrics
  • Market data from Bloomberg and Telekurs
  • * This is a hypothetic case study due to strong industry compliance requirements but the real cases are comparable technically and the engagement scenarios are similar too.