Risk Markets Technology Awards 2021: Buy-side market risk management product

Buy-side market risk management product of the year: RiskSpan

Edge Platform is a cloud-based data management, analytics and portfolio risk management solution for loans and securities. It embodies RiskSpan’s extensive expertise in mortgage-backed securities (MBS), mortgage assets, loans and structured products. 

Edge Platform provides off-the-shelf predictive models, including RiskSpan proprietary and third-party models. Users are able to customise its dashboards and reports.

Data Library is an integrated data-managed service that includes publicly available commercial data and client data. Performance data is maintained for clients to execute trending analysis on historical data. RiskSpan validates and normalises all data for easy comparative analysis. Users can apply machine learning tools to Data Library to gain further insights.

Edge Platform’s intuitive user interface and microservices architecture proivides users with ready access to data, performance trends and complex forecasting tools, and provides integration with RStudio, Python and machine learning tools, allowing clients access to data for model development and detailed analysis. 

The platform manages model inventories and documentation, schedules validations, tracks validation findings and manages other tasks associated with model risk management. Clients can easily plug in their existing data, assumptions and models. Interactive data visualisation enables users to see and explore information – such as balances and remarketing costs – on bar graphs, line charts and scatter plots, updated in real time. Comprehensive model governance enables users to manage and track all of their model oversight activities in one place and to comply with regulatory principles and guidance on model risk management. 

RiskSpan has enhanced its build-a-curve scenario creation capabilities with regard to vector inputs and outputs, including the ability to split foreclosure moratorium considerations into ‘forbearance period’ and ‘time to liquidate’ for better flexibility in user scenarios. It has also revamped its ‘security compare’ functionality to allow users to compare an individual bond against other similar bonds. 

By default, the user interface displays all active bonds with the same collateral and tranche type. Users can apply additional filter criteria to narrow down the list of securities, including using the Bloomberg naming convention to indicate issuers and vintages, and the Bloomberg naming convention or nine-digit Cusip codes to provide a static list of securities. Based on the selected securities, the user can then review the comparison reports for historical rates between the selected deals and collateral statistics. 

Edge Platform is hosted on Amazon Web Services and IBM Cloud. Its data and analytics are available through a user interface, application programming interface (API) or as a service.

Judges said:

• “RiskSpan’s Edge Platform has strong data management and overall technology, as well as best-practice quant design for MBS, structured products and loans, and includes predictive modelling, risk management and model management.”
• “The platform comes with data analytics and functionalities to support a sound model risk governance framework.”

Bernadette Kogler, chief executive officer, RiskSpan, says:

“RiskSpan’s Edge platform provides structured finance market participants with a single unified platform for research, data analysis and risk measurement and reporting. Developed as a cloud-native solution, the Edge platform scales effortlessly to meet clients’ usage requirements, while RiskSpan’s extensive team of domain experts bring the as-a-service element to clients that require broader support. RiskSpan specialises in the complex structured finance markets and streamlines analysis by securely hosting client proprietary datasets and models alongside third-party conventional and alternative data and models. The user experience is further enhanced by access to Edge’s data and models using a suite of available API tools.”

 

Read more articles from the Risk Markets Technology Awards 2021 winners’ review

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