Hedge Funds Taking New Approach To Risk Assessment

Hedge funds have learned a lot from the recent credit crisis. One lesson is to generate their own assessments of counterparty and other risk, as opposed to accepting the party’s data or an agency rating. Investors without the technology to do so are planning on getting it and those who have it are putting such platforms through all of their paces.

在2010年6月和9月在2010年9月之间询问的500多个高度证券化市场参与者中，在未来两年内有90％的计划实施技术，以改善管理资产支持证券（ABS），抵押支持证券（MBS）的分析，风险和业务流程（MBS）和结构化的信贷投资组合。该研究由Principia Partners进行的纽约州普利普斯SFP制造商，管理结构化产品的平台，发现投资者最需要及时访问和有效地整合抵押池性能数据进行投资和风险分析。

Principia和其他平台提供商，如想象的软件和风险数据，正在回答对更复杂的风险分析的不断增长的客户需求，他们可以控制自己。Imagine总裁史蒂文哈里森正在引入危机后的平台升级，被称为想象7，解释说“人们认为他们可以信任的结构，例如评级机构和全球银行系统，失败和这一领导的市场参与者寻求独立的风险系统，以计算他们的市场风险，特别是在信用空间中。“

对于悉尼基于Arnott Capital的首席执行官的Ben Parker，来自他想象的系统，从他想象的系统中归备了5000万美元的资产经理，从他的想象系统中归功于“围绕交易对手曝光”。他在谈论雷曼兄弟兄弟们失败的日子里，他正在谈论雷曼·兄弟·兄弟·萨克斯被市场观看“，因为需要做一些事情来纠正他们的资产负债表。我们的股权投资组合中没有人职位可能会失去美国作为银行失败的交易对手曝光，“帕克说。“基本上，过去两年，我们在股票市场上一直在一只眼睛，一个关于交易对手的风险。”

For the pricing information around the credit default swaps (CDS) Arnott uses, Parker says, he tended to ignore the slower moving agency credit ratings during the crisis, which “at the end of the day tended to be quite high for businesses that were (trading) around zero.” Instead, his traders combined three sources of data: Reuters equity prices now via the Imagine 7 system, with company balance sheet -- including the notes -- and other filings with Arnott’s own portfolio research, which includes talking to market participants. The heightened visualization functions on the new Imagine 7 also allow traders to drill down on a risk alert visible on a heat map for, say, a particular industry to see which positions and/or which stocks are most exposed. “All of our investors expect the traders to monitor like this,” he says. Arnott hasn’t had a loss in 11 years.

Post-crisis investors want to be able to see what’s next and test what-will-happen-if scenarios. “During ‘08,” recalls Mark Friedman, a principal in the mid-sized New York hedge fund, AM Investment Partners LLC, “large companies were failing left and right. But we could go in and look at the financial curve or gamma and ask, ‘how do we make money in this market.’”? To do that, Friedman, who has been using Imagine since he ran Deutsche Bank’s convertible arbitrage desk in ‘96, has always taken the software through its paces in ways the vendor never imagined including employing what he calls, “shocking.” His traders, mostly convertible bond arbitragers, run a lot of potential scenarios in real time -- or fast forward -- by ‘shocking’ the data. Then results are stored in a custom-made index of possible outcomes so traders can respond quickly to sudden market conditions.

“Risks are in any positions that appear to have convexity or are long convexity that after some type of dramatic move may no longer have that convexity or actually get shorted,” says Friedman. (Convexity can change with interest rate moves.) “I really don’t know of any other systems that can take a position dynamically, either in real time or going backwards or even forwards in time and enable you to look at that position and say ‘what if?’ What if the underlying moves 25% over night?” says Friedman, who wants to be able to calculate this way for any risks that are unintended. “The entire industry now is much more responsive to and aware of looking for these types of risks,” he notes. “’Unintended Risk’, that’s the big post-crisis expression now.”

Similarly, Verizon Investment Management Corp., Vimco, which manages the $49 billion benefits funds of the giant telecom and its domestic subsidiaries, just chose FOFIX, the risk management solution from Paris-based Riskdata, to manage the market risk of its absolute return strategies. The tools support its funds selection, fund monitoring and portfolio construction, and will report the risk assessments to the manager’s board. “FOFIX is used by our clients to assess managers’ alpha and to account for tail risk as well as to actively monitor exposures in extreme market conditions,” says Riskdata’s chair, Olivier Le Marois.