About this paper
This paper outlines an approach for creating a common model, security and scenario library for modeling structured, fixed-income securities and equities for use by front office, middle office and risk management teams.
Capital markets firms can gain a competitive advantage by creating a centralised risk management model and scenario library embedded within a high-performance risk management and pricing platform, linking the front office, middle office and risk management teams.
Topics covered in the paper include:
- Enhancing Front Office Capabilities
- Speeding the Velocity of Middle Office Risk Management
- Enabling Capabilities
- High-Speed Computational Environment
- Standardised Scenario Development
- Centralised Base Instrument Model Development
- Common Market and Risk Factor Data