Numerix has embedded Quartet FS’s ActivePivot in-memory analytics technology into its CrossAsset Server enterprise analytics engine to deliver real-time analysis, aggregation and visualisation of the large volumes of complex data that result from CrossAsset Service calculations of market risk and counterparty credit risk and derivatives valuations.
The partnership provides the first best-of-breed addition to Numerix’s CrossAsset products and reverses the company’s traditional approach of licensing its software to other independent software vendors to embed in their offerings. Stephen O’Hanlon, CEO and president of Numerix, says the company will integrate more third-party products as necessary to meet market demand. For Quartet FS, the partnership is one of a growing number made not only with capital markets solutions vendors, but also with companies in e-commerce and customer relationship management.
Numerix CrossAsset Server came to market in March 2013 and extends the features of Numerix CrossAsset, essentially a large library of market standard valuation and risk models, into a grid or cloud-based server platform designed for both sell-side and buy-side firms to compute pre-trade pricing, mark-to-market, Greeks, sensitivities and cashflows, and market risk and counterparty risk measures.
CrossAsset Server integrated with ActivePivot will initially address real-time visualisation and what-if analysis of mark-to-market and Greeks reports, as well as credit valuation adjustments (CVA), potential future exposure (PFE) and Monte Carlo value at risk. Forthcoming coverage will include incremental CVA/PFE, CVA sensitivities, pre-trade limit checks and initial margin calculation.
The integration of the Numerix and Quartet FS software took about two months and Numerix customers can elect whether to license and switch on the ActivePivot element within the combined solution. The integration is agnostic on how the software is deployed, allowing it to be offered to smaller clients as a software-as-a-service option and to larger clients as a deployed or cloud-based solution. O’Hanlon suggests all Numerix’s 350 direct clients could benefit from the combined software, saying: “This enables them to migrate from Excel-based desktop solutions to something more meaningful.”
Allen Whipple, co-founder and managing director of Quartet FS, describes ActivePivot as an incremental in-memory engine that makes calculations as they are required, greatly improving on once a day or intra-day reporting and supporting the reporting requirements of regulations such as Basel III and Dodd-Frank.
On the company’s work with Numerix, he says: “CrossAsset Server enables the parallel calculation of risk and valuation metrics enterprise-wide. With ActivePivot it can aggregate and display those outputs in a multi-dimensional layout, providing detailed analysis for margin, risk calculations and pre-trade assessment in milliseconds.”
Whipple describes the key benefits of the software as out-of-the-box best-of-breed analytics coupled to real-time reporting and visualisation; a timely response to a regulatory environment requiring risk calculations to be performed in milliseconds; and a Java technology base that fits many clients’ development blueprints. And there is more to come, with Numerix planning to build out applications on the basis of the capabilities and flexibility inherent in CrossAsset Server, and Quartet FS refining ActivePivot Sentinel, the rules-based engine that allows users to define rules for automated monitoring and action triggers across the ActivePivot environment.
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