SIAG Risk Management
Functional & Technical Consulting
In today’s highly volatile global markets; Siag’s expert market and credit risk consultants daily deliver international Tier 1 asset risk adjusted valuation support for over 1 million complex instruments to prestigious Tier 1 global clients. We daily deliver expert portfolio risk analysis and client advice for reserve capital management and portfolio risk exposure and position management to full tier 1 portfolio risk modelling and reporting with extensive stress testing and back testing to full portfolio risk adjusted re-valuation.
Expert market risk managers and functional analysts provide expert management analysis of risk engine output and aggregated VaR reports ensuring accurate asset valuations across asset classes and advise on risk limits, capital management, position exposure and portfolio alternations.
Siag develops some of the worlds leading tactical solutions for data validation and management, has developed the world’s fastest performing comprehensive analysis market risk engines capable of modelling VaR and P&L with a full suite of histric data series, variance covariance, monte carlo, stressed VaR and full stress testing and back testing to full risk adjusted portofolio valuations by asset in typically only an hour in a Tier 1 portfolio eliminating batch processes, delays which expose portfolios to excessive interday market volatility risk and ensure accurate and compliant capital management to Basel with accurate balance sheet management. Siag also develops client specific Tier 1 tactical technology solutions based upon their risk engine expertise.
Siag also manages functional analysis, management operation and training on 3rd party systems including Murex, Asset Control, Kondor and others on behalf of Tier 1 clients as a part of their management consulting professional services in addition to providing full functional and technical support for their own and client commissioned technology developments from client brief to development and testing to full technical production implementation.
Portfolio Analysis
Portfolio analysis is aimed at the production of parameters which permit the evaluation of the behavior (or performance) of a portfolio in a given period in terms of binomial risk-yield. A good part of this analysis is aimed at the evaluation of the portfolio in terms of its performance to an index benchmark, whose selection will be determined for the particular composition of each portfolio. The output of the risk analysis generates a detailed statistical data analysis which enables the evaluation of portfolio positions, risk weights, performance, re-valuation, positions and consolidated and aggregated group risk exposure to be fully modelled, stressed and tested to beyond Basel minimum standards. The aim of Siag’s portfolio analysis is to ensure that market risk has been correctly modelled interday from validated EOD prices delivering accurate risk adjusted asset valuations and a full understanding of aggregated VaR considering many stressed VaR metrics and analyses permitting clients to manage both positions and capital in an optimal manner. The elimination of time consuming, wasteful and inefficient batch processing delivering risk reports far too late to be of any operational value, or only so partially modelled as to be of little use in accurately valuing assets for compliance, capital management and reporting purposes is eliminated by the Siag system.
Calculation and analysis of VAR’s
Calculation of Market VaR. This calculation can be developed following any one of the best known alternate methodologies: parametric, delta-gamma, historical simulation usually 4 years of data considered, and Stressed VaR considering a 2 year historic data series during times of elevated market volatility for Basel compliance. Monte Carlo simulation in the case of futures and key derivatives modelling and full P&L vector analysis with Value at Earnings modelled being the converse measure of Value at Risk. The entire Tier 1 portfolio is modelled, stress tested and fully back tested to full risk adjusted revaluation interday. Additionally we offer procedures for the analysis and leveraging of VaR methodology such as Stress Testing and Back Testing, what if scenarios, and VaR as at previous date for audit compliance. This comprehensive data modelling and scenario stress testing provides comprehensive compliant market risk management data for portfolio management, regulatory reporting and compliance and optimised reserve capital management.
Portfolio Optimization and Coverage
The objective of the optimization of portfolio service is the correction of risk weighted positions to reduce risk without sacrificing yield levels. This optimization can be carried out for portfolios of any size and can offer marginal corrections or significant corrections depending on the objectives and risk appetite of each client. It also includes data analysis of both static and dynamic coverage functions at both instrument and portfolio level and helps in the identification of arbitrage opportunities. Functional analysts will provide expert market risk advice after the full interday modelling of aggregated VaR results within the portfolio and advise on changes to high risk exposure positions which owing to the speed of the Siag engines will be t-1 EOD data fully modelled and reported before t-0 market opening permitting changes in pre-trading and minimising losses. This is not possible with batch process legacy systems as the risk output reports arrive far too late in Tier 1 environments.
Design of Valuation Models for Financial Instruments
Siag technology is designed to accept client dll files and thus permits the client to use whichever valuation formulae they consider optimal for the risk valuation of particular classes of asset. The same flexibility is available for the formulae selection for the calculation of unobservable variables when applied to incoming market pricing data through Price Manager the complementary market data validation system. Our client takes the ultimate decision as to the methodology to be deployed in the valuation of any asset giving full control of the system to the technology user with advice from Siag’s expert partners and consultants. Siag expert consultants also provide advice on specific methodologies for asset classes as a part of our professional consulting activities and services from expert market risk in house Quants.
Advanced Tier 1 Technology
As well as designing and developing next generation tactical Tier 1 solutions to client brief and need from their “F1” R&C and development teams; Siag also provides generic next generation systems for Market Risk Management which are suitable for any technology landscape, are compatible with all leading technology systems and universes and are all programmed in C++ for speed and flexibility with open API’s for full connectivity with all existing client systems. Siag’s design ethos is based upon compatible co-existence within the client technology landscape avoiding the need to replace existing and expensive legacy core architecture; but rather operating with it in a symbiotic manner. In this way; costs may be minimised whilst providing next generation performance levels adding the latest ultra fast processing capability and engines in parallel with existing systems.
Data Manager
Is an advanced intelligent data hub permitting data acquisition from multiple sources in parallel and it is normalised, validated to client defined business processing rules, or manually certified if non compliant to business rules. Full user intervention ident is maintained in a secure system for audit trail purposes and compliance and is held within the system for 10 full years. This flexible data hub forms the basis of many development architectures for an extremely wide range of mass data processing tasks, and the ultra fast Siag engines which form the core of the application ensure on demand performance even when dealing with Tier 1 data loads. Many different applications can be developed using Data Manager as the validation and compliance platform when the need is for mass data volumes as typical in Tier 1 institutions.
Price Manager
Is a module of Data Manager which provides the additional benefits of being configured for multiple source market pricing data from Capital Markets and is designed and configured to accept all data fields from leading data vendors such as Bloomberg, Reuters, Six and Morning Star which a pre-mapped into the application. The powerful calculation engines in Price Manager also calculate on demand unobservable variables to a standardised methodology reducing data acquisition costs and standardising the methodology for these calculations ensuring data consistency. As Price Manager is a Tier 1 portfolio application; even with the data loads concerned; performance is not affected as full grid enablement with Data Synapse as the grid manager delivers full scalability as well as data transparency and business rule validated accuracy.
Market VaR Risk Engines
Siag’s world recognised and market leading ultra fast Tier 1 portfolio market risk VaR engines are the heart of all Siag technologies and eliminate batch processing which cause risk blindness and delays in interday market risk visibility and transparency. Comprehensive and aggregated VaR modelling and reporting considering a full range of metrics enables market risk to be managed interday with full accuracy, visibility and transparency and permit the optimal management of capital, optimal management of assets, and full compliance with all relevant regulations. Siag does not purely rely on a parametric VaR analysis and ensures that all VaR variants are modelled, stress tested, back tested to aggregate validated VaR visibility delivering compliance, effective capital management and optimal risk adjusted portfolio management. Siag market risk engines bring a whole new level of visibility to Tier 1 market risk thus minimising losses, reducing risk exposure and providing optimal efficient capital management.
To read more about their main products:
SIAG Market VaR Ultra Fast Tier 1 Risk Engines
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