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Description: RiskServer's Risksvr™
is a strategic and tactical Financial Risk Management Calculation Server
designed to project portfolios over multiple simulation horizons while they are
submitted to market, credit or liquidity risk analysis.
Then engine provides a truly generic framework that provides complete control
over methodologies and assumptions. And this for each and every risk factor(s) involved in
the multivariate stochastic processes.
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Risksvr™ uses the most advanced quantitative methods in financial engineering to simulate
market variables in order to measure absolute and relative market,
credit and liquidity risk that can affect your portfolio over one or
multiple user defined horizons and confidence levels.
Risksvr™ covers a wide range of methodologies and assumptions.
From mean zero to earnings at risk VaR, from Normality assumptions to bucketed credit
exposure tails, from uniform default losses (Default Mode)
computations to correlated obligor defaults and hybrid mode Correlated
Gaussian/ T Copula Time-to-Default, from simple relative to absolute
and mean-reverting multivariate
stochastic processes with either spot or forward foreign exchange
interest rate drift simulations, Gaussian, Fat Tail or Pareto
distributions. From simple plain-vanilla stress tests to conditional
correlated
parametric scenarios, sequenced returns multi-stepped
scenarios with portfolio ageing, cash-account accumulation,
reinvestment and exercise policies and full collateral
revaluation.
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RiskServer was originally designed by
John Tissieres in 1995 as a next
generation Treasury & Risk Management Product.
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Return to Cesar what belongs to Cesar
In 1999,
the creator of RiskServer went to work for RiskMetrics Group in London as head of
products for Europe.
There some people were badly in need of "New" ideas and
therefore decided to "Borrow" the concept in order to
package the existing RiskManager product.
RiskMetrics Dirty Tactics
In September 2000, RiskMetrics tried to "force" him to
introduce the "new" product to existing customers that had
been shipped-inn world-wide for a Customer event in London.
He
obviously had to decline, since it was in conflict with the methodology and
engine he had conceived prior to joining the company.
The real RiskServer Engine goes far
beyond one day VaR calculations into the first Holistic Market, Credit
and Liquidity Risks Engine designed on a series of absolute and/or
relative multivariate stochastic processes for ALL risk factors
involved. (including spreads, spread volatility, forward rates, hazard
rates, expecteddefaults, marginal conditional no defaults,etc.),
effective portfolio ageing cash-account accumulation and dynamic
collateral !
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History
The Risksvr™ calculation engine
was first submitted as a Product Functional specification (PFS) and Product
Requirement Specification (PRS) in 1994/1995 by
John Tissičres
while he was
working as the Financial Mathematics Consultant in the Application Development
Center of the leader in financial information.
The RiskServer engine specification was meant to lay the foundations
for the next generation of Treasury and risk Management Products. Senior management
was keen to move forward, but was considered
Technically Impossible
by key application specialists!
Fortunately the
product was killed for political reasons, which resulted in the
opportunity to spin-off the project.
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As expertise accumulated while working in London, New York, Palo Alto
and other financial centers, it became quite clear a generic Risk
Management Calculation Server was not as far fetched as many
specialists had assumed.
In
1997 Further Research
was carried out in order to satisfy three objectives:
1)
Provide a generic platform that would handle unlimited amounts of Users
with different profiles and requirements. Provide an engine that was
easy to setup and configure in a matter of hours, not weeks of months,
as is usually the case with typical risk management applications.
2) Provide ease of use and yet offer
generic methodologies and models and assumptions with no limitations in terms of Market, Credit and Liquidity analytics and
industry standard methodologies.
3)
Provide the first truly generic holistic multi-stepped market, credit
& liquidity calculation engine offering both unrivalled speed,
ease of integration and minimal footprint across platforms and
technologies.
In 1998-1999, the first Web enabled version saw life.
(see about).
Five
years on, this vision has crystallized into a unique engine that holds
on less than 4 megabytes of executable code
(currently 3.2 Mb (megabytes),
including cash-flow generation and virtual input output controller on Unix platforms
and 4 Mb on Win32 platforms (+ 3d renderring and graphical interface )!
In order to offer portability across platfor
m and an edge in terms of speed, all low libraries (string handling, parsing, low level
libraries, date handling) and mathematical routines were written from
scratch and have been
continually optimized and tested against newer programming techniques and
standards (with and without compiler optimizations).
This
constraint which made numerous specialists smile in the past has
currently proven a clear advantage in terms of power,
flexibility performance and portability.
Risksvr™ can now handle huge amounts of data and run millions of simulations
per second on the web.
And that's the most
difficult and most rigorous test an application can be submitted
to
at the present time
!
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Risksvr™ is available
over the internet
or can be downloaded as a compact 3.5 megabyte executable. Source code
can be acquired under special agreements.
Risksrv™ is a generic 
Credit,
Market And liquidity Calculation Server designed around user-friendliness, extensibility speed and advanced analytics.
Risksvr™ is designed to run either on a standalone basis or as a
component of a larger system. Risksvr™ can also run as an http
client/server.
At the simplest level, Risksvr(tm) runs from a hierarchy of mapable tokens either in xml
(fpml or RML: Risk Markup
Language), name value pairs or comma separated values sourced from files,
streams or shared memory.
At an intermediate level, Risksvr™ can disseminate data from/to one or
multiple databases either through standard low-level
custom Database Connector or through generic (and thus slower) ODBC
Drivers (Win32).
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Risksvr™ is easy to use and integrates seamlessly with other systems.
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