Sounds boring? If you think of a beginning hook of storytelling, each scene, act and the whole story should start with an inciting incident.
A Set Up kicks off our system
And it's true, in standard information systems the set up process is focusing on the preparation of the static and dynamic data. If you data model is well done this should not be to difficult.
But in quantitative systems the set up includes models and their possible representation by methods, the regime for possibles evaluations, scenarios and simulation regimes, "what if" treatment…they can become quite exciting and need already an intensive involvement of special users.
Additionally to that you may need to set up users, their roles and restrictions…say, a system administrator, product manager, product engineer, process manager, process engineer, quality manager, risk manager…they all use the same system but with different coverage, depth…
Users with an "engineer" attribute may be prominently involved in the set up...
It's a beginning hook
Quantitative systems may offer interactive sessions, but also batch processes represented as scheduled tasks. Batch processes create a problem, if there is not enough time to recover from false results, but their asynchronous nature can also provide a plan for resilience, if there is plenty of time for recovery.
Many innovation types may have conventional set ups, but in quant innovation the set up make already a promise to its users…solutions to a variety of problems.
If your quant innovation is about the adaptive control of a, say, machine tool, your set up must include a machine model, because the precision of the operations will depend on the, say, machine dynamics…For an efficient tool management, you may need a tool life cycle model…And in the set up you will decide how your system is going to use this models in operation…
In UnRisk Capital Manager the set up defines user profiles, deal types, models, methods, portfolios, scenarios, market data, valuation regimes, risk factors, risk methodologies, risk management regimes…convents about the curation of data are definable…tasks for workflows are scheduled…
The set up of the UnRisk CM is organized hierarchically in the sense that parts of it work for their processes, tasks…like model calibration, model validation, valuation of single instruments, valuation of portfolios, VaR calculation, backtests, stress tests…aggregation and reporting of risk data…
What's the general set up for? The capital manager finds a complete universe of data, methods and tools to get a quantitative understanding how her portfolios perform related to the desired return and risk profile.
The set up may be great, but there are (hidden) problems and traps lurking...
