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Jul 9, 2021

A late revival of counterparty credit risk modeling

Counterparty Credit Risk (CCR) modeling became popular in the early 2000s as B2 entered into its final phase. Many banks rushed to develop their own approaches or acquire third-party vendor solutions for counterparty credit risk exposure measuring and management. 

Jun 16, 2021

Employee Trade Monitoring is Important During Extreme Market Volatility

It has been widely reported that retail investing has been booming, fueled by a combination of “Reddit meme stocks” and use of stimulus money by first-time investors. There have been well documented cases of employees at broker-dealer and investment advisory firms being distracted by the gamification of the stock market and the use of apps that have made access to markets easier than ever.

May 21, 2021

ETFs: a case for “look-through” data in risk management and beyond

For more than 25 years, exchange-traded funds (ETFs) have transformed the global investment landscape. Born out of US equity market efficiency assumptions and computer advancements, these low-cost investment vehicles are found today in many institutional portfolios. Investors use ETF products well beyond original US equity bounds. These liquid beta instruments seek to replicate performances of international equity indices, commodity indicators and selected fixed-income universes. Considering the continuous growth in assets allocated to ETFs—ESG-tilted ones in particular—this blog looks at some analytics consequences on institutional investors’ asset allocation and risk management processes.

May 13, 2021

Moving to the cloud – it’s a risky business

Technology and IT management have become second nature for many financial firms. There is no shortage of anecdotes from the last decade where C-Suite executives anticipated the changes. One such CEO of a Tier 1 European Bank back in 2015 foretold, "In the future, we will be a software company.” Our view, as a software company, was that we felt confident that there would continue to be a greater reliance on IT infrastructure. The emphasis on infrastructure remains, although the business challenges are evolving.

May 4, 2021

The FRTB deadline is approaching—are you ready?

In 2021, banks in the US must be setting the groundwork for meeting the January 2023 deadline for the Fundamental Review of the Trading Book (FRTB). This year, US regulatory agencies are expected to issue a notice of proposed rulemaking (NPR) that will include finalized rules for FRTB. This will be followed by a hypothetical portfolio exercise and comment period. Because of uncertainty arising from the COVID-19 pandemic, the exact timing of the publication date will be difficult to predict. However, the goal of meeting the 2023 deadline is viewed as a high priority given the need for consistency across jurisdictions in terms of both implementation timing and the capital framework.

Apr 29, 2021

Risk management and lessons learned from GameStop

The most important lesson to learn from the recent GameStop event is the importance of risk management. But the point is not to try to forecast such an event. For the most part, GameStop being selected by the public for this wave of buying was more or less a random event. There are thousands of stocks that could have experienced the same thing—in fact, there are large stock price swings every day, just with less volume and publicity. Regardless of whether you are an individual or a large mutual fund, knowing if you have a “GameStop Candidate” in your portfolio is critical.

Mar 30, 2021

SS&C Algorithmics wins Most Innovative COVID-19 Response award

A-Team Group Innovation Awards has recognized SS&C Algorithmics as the Most Innovative COVID-19 Response for our new product, Algorithmics Scenarios as a Service.

Mar 17, 2021

Managing the new normal in energy companies

The great oil crash of 2020 was felt around the world when WTI crude oil futures finished at negative $37. Airfreight and personal transportation fuel, jet and gasoline fell due to lack of demand. Companies were eager to see stay-at-home orders expire and see people on the roads. Despite these slumps, there were some energy bright spots in 2020 that will continue into 2021. Petroleum byproducts like naphtha and fuel oil have done well due to waterborne shipping and the need for plastics for PPE. 

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