Mark-to-Market and Risk Reporting system for large Hedge Fund
Our client is a large hedge fund trading a wide variety of asset classes. The fund had developed their own library of analytics models for calculating mark-to-market valuations and risk metrics. The client used an outsourced middle-office provider that was unable to provide mark-to-market and risk reporting using these analytics. Digiterre was engaged to deliver a system that would house the analytic library and use it to generate m-t-m and risk reports based on real-time market data obtained through an integrated Bloomberg feed.
The project was delivered over a series of two to three month phases by a team of four people, with each phase adding new asset classes and their associated analytics.