Analytic Space, jointly developed by SciComp and IBS Capital, is a robust, flexible and readily customizable risk management framework for comprehensive portfolio pricing and risk analysis of exchange traded and OTC cash and derivatives instruments. Analytic Space amalgamates market data, pricing analytics and risk analysis into a single centralized service in a non-monolithic fashion so that traders, risk managers and valuation teams may easily and independently implement and share analytical solutions/reports tailored to their particular needs and requirements.
Analytic Space includes an extensive suite of pre-implemented market data objects (e.g., market instruments used for yield curve construction, yield curve templates, volatility surface templates, etc.), pricing models for OTC cash and derivative instruments and risk analytics (e.g., P& attribution report, book risk anakysis, sensitivity reports, cpaital allocation analysis, etc.). All pre-implemented market data objects, pricing models and risk analytics are completely customizable, composable and extendable by end users.
Analytic Space is an ideal desk level risk management tool that is designed to facilitate pricing, portfolio risk analysis, capital allocation, P& attribution, model validation and other trading and treasury operation activities. Analytic Space enhances and complements existing trading, risk and position keeping systems, but may also be used as a standalone risk management solution.
Analytic Space is not a blue sky pure technology solution, rather it has been designed from the ground up based on insights and experience of people with extensive trading, risk management and valuation business expertise.
Analytic Space provides a robust set of algorithms and template based approach for constructing swap, treasury, spread, FX basis and OIS curves. Yield curves may be constructed for any trading currency around the globe and can easily be shared by end users.
Analtic Space yield curve construction features include:
- Robust archive features and the ability to retrieve and restore yield curves
- Create and store historical and simulated curves that may be used for comprehensive portfolio risk analysis, individual product analysis, model validation and pricing exercises
- Full curve transparency and auditing capabilities
- Compatibility with all major market data providers (e.g. Reuters, Bloomberg) or custom built databases
- Multiple interpolation techniques for curve bootstrapping and rate interpolation
Analytic Space is a robust, flexible and easily customizable risk management framework that provides a transparent pricing approach for the valuation and price analysis/comparison for exchange traded and OTC cash and derivatives instruments.
Analytic Space helps address model uncertainty by providing the ability to create and save advanced sets of market objects and analytics in a centralized framework whose benefits include:
- Transparent pricing
- Ability to save yield curves and surfaces for historical analysis
- Better understanding of the factors driving model parameters
- Model portability for effective team collaboration
- Ability to utilize multiple analytic models
- Market shift scenarios are inherently built into the models
- Evidence based model validation
- Using different versions of the same model for auditing and backwards compatibility purposes
Utilizing a centralized service approach, Analytic Space combines market data, pricing models and risk analytics into a readily sharable and consistent set of valuation and risk management tools. Analytic Space helps facilitate a more comprehensive understanding of trade desk risk management issues including:
- Modeling Bid-Ask spread
- Bid-Ask spread implications for long term profitability
- "Unwarehousing" of risk
- Decomposition of risk and P&L by product type and maturity
- Dependency between market sensitivities and VaR
- Assessing maximum potential loss due to model risk and computational limitations
- Pre-configured and pre-calculated market objects
The centralized portfolio pricing and risk analysis framework employed by Analytic Space provides a readily sharable and consistent set of in-depth valuation and risk analysis tools that facilitates effective communication and idea flows between front office and capital allocation groups. Such an improved communication flow can help identify and quantify hidden risks and provide for an effective and quantifiable capital allocation management framework.
- The ability to identify and quantify hidden risks
- An effective and quantifiable capital allocation management framework
- A holistic view of capital allocation over a product's lifecycle
Analytic Space is robust and versatile portfolio pricing and risk analysis framework. By amalgamating market data, pricing models and risk analysis into a centralized service, Analytic Space provides an effective analysis and understanding of book risk and T+1 projections.
Book risk analysis includes:
- A transparent understanding of the sources of book risk
- The ability to monitor potential operational issues such as exercises, rate resets, cash flows, future rolls, deal restructure and cancelation
- Effective monitoring of product lines and performance
- The ability to monitor risk capital and XVA adjustments due to traded products
T+1 projection analysis includes:
- No surprises trade book management
- A better predictor of market moves such as P&L changes compared to VaR
One of the key attributes of Analytic Space is the flexible and easy to access multi-model framework. Most financial organizations have implemented monolithic trading and risk system applications that lack a unified approach for dealing with the variety and complexity of pricing analytics. Typically pricing models the pricing models are disorderly, non-generic, opaque and tailored for specific tasks and input data structure (i.e., hardwired to specific systems).
Analytic Space provides a robust, broadly accessible, multi-model framework that provides numerous front and middle office benefits including:
- Comprehensive trading book analysis and multi-model comparison/assessment
- Ability to test model performance against both model and market perturbed hedges
- Effective and transparent model calibration
- Model validation
- Detailed P&L attribution and rapid resolution of all discrepancies in P&L and Risk
- "WHAT IF" analysis for both valuations and risk management.
- Ability to price and calculate risk of portfolios using multiple models simultaneously
- Infrastructure cost savings
- Unified approach to model development and deployment allows for skills importability
- A holistic view of cost of capital
- "Un-warehousing" of the risk
- Facilitates effective communication and positive idea flow between front & middle office and financial control teams
Analytic Space is robust and versatile portfolio pricing and risk analysis framework that supports rapid model deployment. Analytic Space provides users easy access to both new and existing pricing models and market data sets allowing for in-depth model analysis and performance assessment.
- New pricing models (even during prototyping) can be used in parallel with production models
- Model validation becomes a part of a daily routine process
- Ability to test a multitude of potential market scenarios, including asymptotic and stress test scenarios
Utilizing a centralized service approach, Analytic Space provides a portfolio pricing and risk analysis framework that combines market data, pricing models and risk analytics into a readily sharable and consistent set of valuation and risk tools for pricing, risk analysis, capital allocation, P&L attribution, model validation and other trading and treasury operation activities for exchange traded and OTC cash and derivatives instruments.
Analytic Space employs a flexible and robust architectural design that effectively streamlines front, middle and back office operation and reduces infrastructure costs.
- Low cost and reliable framework for sharing analytical tools
- Shared repository for pricing models
- Shared repository for market objects (yield curves, volatility surfaces, etc.)
- Shared repository for portfolio/risk management scripts
- Centralized access to historical data
- A framework for generic mathematical functions
- A robust and agile portfoliorisk analysis framework for pricing cross-asset products
Analytic Space provides users the ability to implement/access their existing internally developed and/or third-party pricing and calibration models for all asset classes. Such pricing models may be written in C++/C#/Java/Python or called as DLLs.
In addition, Analytic Space Basic Pricing & Calibration Models is a suite of pre-implemented derivatives pricing and calibration models organized by asset class. Customer seeking to further extend their pricing model and calibration model functionality may contact SciComp, a leading provider of derivatives pricing and calibration models to the financial services industry.
Analytic Space reflects the insight of people with trading, risk and valuation team business experience rather than being a pure technology solution. Analytic Space requires minimal IT support and easily interfaces with other front office, middle and back office technologies.
Portfolio pricing and risk analysis framework supports robust security, monitoring and administrative functionality