NuclearPhynance Archive

A reasonably good risk analytics package will cost $100k/yr to $2M+/yr for the software/service.  The higher end will be for a large firm, entreprise, data-intensive application (Citadel, Millennium, JPM).  RiskMetrics, Barra, Algorhymics seem to be the main choices.  Maybe also Sophis?



I always find it funny when people are running their own stuff in spreadsheets (wheel rebuild?) or looking for something off the web for cheaper.  Good, smart people are expensive.  The risk analytics calculator and data... is pretty cheap.  And you STILL have to throw a good persons attention at it to make it work.



That said, I have no problem with "common sense".  Its a great risk mgmt approach (smaller positions, lower net, high level of  worry).

I have often compared results of risk metrics against spread sheet solutions .  The main difference was that i could see my VaR intra day instead of next day . 



So please could somebody explain what is the advantage of pro. Software .



Maybe if you are running a book with  options ?

Just calculating a VaR is easy. However, attribution analysis, cross-sectional analysis, tracking liquidity risk, etc. are all very hard. That is why people pay 100k p.a. for what looks like just a few reports.



Bloomberg has some functions integrated since 6 months or so. With PRTU one can upload portfolios and track the main metrics. Pretty decent actually.

macrotrader



what kind of instruments does your book have?





edit: typo

Equities, bonds, futures. No options, swaps, etc.



I have one software here which costs 100k, but it looks pretty static, so I'll probably go with BB.

My two cents......



Most commercially available software is so expensive is because it supports a bunch of exotic instruments, offers grid computing support, and a lot of other features many people don't use.



BB should be just fine, but uploading a large portfolio in BB could be a potential hassle, and dealing with bonds for which BB doesn't carry data could be another issue.

I'm looking at something similar, looking at BB Alpha and Thompson TopOffice but open to other suggestions if there are any. We trade Listed Equities & Derivatives, International & US, nothing exotic. Low maintenance and installation is key, should be compatible with REDI+.

this guys are around for a while.



sungard