Customer Challenge

A large Fortune 100 asset manager needed to replace their existing process for reporting Value at Risk (VaR) which consisted of home-grown aggregation tools, a VaR calculation engine, and various desktop tools. The existing risk reports were generated based on the portfolios’ holdings, risk sensitivity factors across millions of simulations. The result was a static set of reports, updated on a weekly basis that did not enable the user to drill to the transaction-level data or support ad-hoc analysis of the portfolios or risk.

The asset manager required a more dynamic and interactive system. In addition to a more timely view of the risks in their portfolios, the portfolio managers required a mechanism that would enable them to understand how new, proposed investment strategies would impact the risk of the portfolios. The asset manager also needed a system that could deliver forward looking analysis, as well as accurate reporting of historical data.

Key requirements of the new system included:

  • Drill-down and drill through to transaction level detail.
  • What-if and forward looking analysis by business users.
  • Create custom aggregations, dimensions and calculations.
  • Modify or remove simulation data and recalculate risk values in real-time, with ability to collaborate with other business users.
  • A flexible, open architecture that could support the computational complexity of their existing models, while growing to support currently undefined future requirements.

The asset manager selected Armanta, after a Proof of Concept (PoC), where Armanta delivered several aspects of the production implementation.

Armanta Solution

The asset manager elected an iterative development process for rollout of the Armanta solution. Within the first two months, initial capabilities of the Armanta solution were made available to the business users. The asset manager is using Armanta for its VaR calculations, benchmarking of relative performance measures, as well as for their financial risk calculations. The Armanta solution is now utilized by hundreds of business users across a global geography.

Results

The Armanta solution transformed the risk analysis process for the asset manager. Under the legacy process, the VaR calculations were completed in a 24 hour batch cycle. The Armanta solution reduced the processing time from 24 hours to 5 seconds enabling users to interactively analyze the data, perform what-if analyses, and optimize portfolio decisions.

The flexibility and computational power of Armanta delivered a solution that transformed the investment process into a dynamic exercise that was much better positioned to take advantage of market opportunities and to avoid the pitfalls of misunderstood risk. The Armanta solution is delivering significant value to the asset manager; benefits include:

  • Empower True Data Analysis: Armanta enables dynamic and real-time aggregation of quantitative risk measures. Through it’s rich visualization capabilities, Armanta empowers business users to perform true data analysis – to drill-down and drill through to transaction level detail, to create What-if and forward looking analysis, to create custom calculation and to modify simulation data in real time.
  • Breakdown Silos: Armanta enables portfolio and risk managers to break down both organizational and technical silos. Armanta incorporates data from multiple sources; e.g. databases, flat files, spreadsheets, etc. across the enterprise. This allows enterprise-scale solutions without the enormous task of building data warehouses.
  • Robust Computational Functionality: Armanta enables dynamic and real-time aggregation of quantitative risk measures, enabling portfolio and risk managers to truly manage risk instead of viewing static reports. By splitting computations across multiple computers in parallel, Armanta can perform these vast and complex calculations in short periods of time.