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Procurement of risk system

AP3 is initiating a procurement of new solutions for its risk analysis. The objective is to get a common platform for risk analysis to be used both in the portfolio management/allocation process and for the risk control and follow up. The primary scope is to find a multi-asset risk system covering equity, fixed income, foreign exchange and alternative assets, both listed and non-listed, to reflect AP3’s portfolio. The risk analysis should be possible to perform on an aggregated basis as well as broken down to flexible levels such as, but not limited to, asset classes, user defined sub-portfolios, risk factors, instrument types and individual positions. The solution should be able to handle both absolute and relative risk analysis. It should be possible to carry out simulations such as what-if/scenario analyses and stress tests and to analyse the effects of changes to positions in the portfolio, both aggregated risk and broken down on underlying risk components.

The solution should be able to analyse long and short books within equities, rates and credit portfolios providing risk statistics for both the long and short side as well as for the aggregated net exposure.

The main focus will be on market risk including but not limited to exposure, VaR, Expected Shortfall, risk factors, scenario analysis and stress tests. The possibility to include counterparty risk and liquidity risk within the solution will be of interest.

Risk budgeting capability is considered a strong positive.

The secondary scope is to find a suitable risk factor modeling system for our equity exposure, either as an integrated part of the multi-asset system or as a standalone product.

We are looking for an internet provided ASP solution where an automated daily update of all positions must be possible. Data management and mapping including management and validation of historical time series as well as calculation of covariance matrices must be offered as part of the solution.

For further information please request the full RFI from risktender@ap3.se

Last day for application will be March 20, 2013

Questions about the procurement can be a put until seven days before the last day of application to the e-mail address above.