Formerly known as Global Research & Risk Solutions
20x volume growth in performance reporting/ attribution, analytics and distribution for the client’s complex QIS strategies across asset-classes with 80%+ time savings; an organic extension to its Front-office desk to allow the structuring desk to focus on developing more strategies, generating more volumes
Objective
A US-based bank was seeking desk support for its QIS business to assist with performance attribution, reporting, marketing collaterals, and analytics. These were spread across various asset classes including cross-asset quant indices and bespoke or managed indices, with linear and non-linear pay-offs and spread across more than 100 trades, thus increasing the complexity of the performance measurement
Challenges
- All deliverables have stringent time constraints & has to be delivered without fail on daily basis and other agreed frequency.
- Scope of error is non-existent, with a simple error potentially leading to wrong derivation or understanding of the risks, exposure and capital, and possible reputation loss. Hence highest degree of caution and sensitivity warranted.
- Continued automation and ability to work on bespoke reports without any supervision.
- Structured workflow amongst relevant teams (structuring, quant, calculation) to ensure that the outputs are generated on timely basis and the performance measurement scripts/platforms are triggered on timely basis with possible debugging intervention as well.
Crisil’s Solution
Deployed a 2-member team since a decade, supporting the QIS desk with its reporting to the end-clients or counterparties.
- Niche expertise / specialized resources well adept at understanding the nuances and intricacies of index business across asset classes.
- Assisted the structuring team in development and maintenance of performance measurement infrastructure (python-based)
- Multi-level checks to ensure error-free reporting, bug-free reporting infrastructure.
- Independently scripted the multi-asset attribution, assisted with EQ vol greeks attribution on Python infrastructure.
- Migration of existing legacy VBA based models to more robust Python infrastructure with self-scheduling features.
- Assist or independently write qualitative and methodological comments on the performance which are shared with final end-clients and regulators.
- Automated tool development for factsheet and marketing collaterals’ updation.
- Independent PX calculation + contribution to various vendor infra (BBG, Reuters etc.) on OTC on daily bas
Impact and results
Complete end-to-end
scalable automated performance
reporting and distribution which has helped client on board more reporting.
20x volume growth
in last 10 years with50%+ volume additionp.a. over last couple ofyears.
80%+ time savings
and almost error-freereporting (~0.003%error rate)
Less time investment
by the core structuringand R&D team,allows them to focuson developing newstrategies.
Reduced regulatory
burden, fastermarketing turn-around– a feel-good factor.
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