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 email@example.com
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.