THE QUANT INNOVATION MESH 2.0
For UnRisk Capital Manager
The Type - Realistic, Real-Time, Documentary, MultiFlow, Financial Risk Management, Market Risk, Open Valuation and Data Management Factory
External Purpose Type - Risk Thriller (Expose Risky Horrors and manage them)
External Value at Use - Market opportunity creation by risk informed decisions
Internal Purpose Type - Arming David. Empowering small capital management firms
Internal Value at Use - Fundamental quant work and automated risk services
Point of View - Fund management
Objects of desire - Conserve capital, set the stage for successful risk management, leverage technology, build quant finance skills
Obligatory tasks - Manage risk in a regulation and business framework 1. Model validation and robust model calibration 2. Portfolio across market behavior simulation 3. VaR calculations, Tail risk analysis…4. Portfolio re-engineering and -construction…5. Contribution to enterprise risk management
Preprocessing constructors - users, instruments, models, methods, market data, valuation regimes…
Preprocessing progressive problems - Model, method and calibration risk (technological risk) may add toxicity to instruments and become horrible in interplay
Preprocessing solutions - Change valuation regimes as result of model-method scenarios
Processing constructors - portfolios, scenarios, simulations…simulation regimes
Processing progressive problems - risk analytics methodologies selection massive valuation and data management requirements...A portfolio shows unexpected riskiness with respect to certain market behavior, but it's difficult to quantify the influence of instruments, risk factors, observed periods, correlations…
Processing solutions - Comprehensive tests checking such influences…and help re-engineering the portfolio
Postprocessing constructors - further, more global risk insight and reporting framework, like for cross business units, market segments or territory analytics
Postprocessing progressive problems - Further analytics needs additional data sets and consequently algorithmic treatment...Additional data may be uninformative related to the desired objectives and attribute more to noise than dependencies...
Postprocessing solutions - Data driven techniques or dynamic visualization to curate these data sets
Conventions - Valuation and data management are twins. It's built multi-model and multi-method. It's a high performance system. It comes with a web front-end. It comes with the UnRisk development system.
Core Technologies needed - UnRisk CM is built of the UnRisk Technology Stack that needs the Wolfram Technology Stack. UnRisk Financial language is an extension of the Wolfram Language implemented in UnRisk Engines (atop Wolfram Engines)
BTW, UnRisk CM is built as integration of the following technologies: UnRisk FACTORY a web based risk management platform, the Value at Risk Universe and UnRisk-Q the programming power behind UnRisk. Its used by capital management firms, asset management groups of insurances…
They all enjoy its automated task processing, extendability, transparency, robustness…intuitive use…That it's ultrafast is seen as requirement. And they are pleased about the level of interactions and their indispensable role in smart decision making…when not excited.
They all enjoy its automated task processing, extendability, transparency, robustness…intuitive use…That it's ultrafast is seen as requirement. And they are pleased about the level of interactions and their indispensable role in smart decision making…when not excited.
