Riskdata
Riskdata is an international company that provides Buy-side financial institutions with risk management solutions through a local or cloud-based software.
 | |
| Industry | Financial Services |
|---|---|
| Headquarters | Paris, France |
Key people |
Hervé Vinciguerra, Chairman Eric Eisenberg, CEO Raphael Douady, Research Director |
| Products | Risk Management Solution |
| Website | www.riskdata.com |
History
Founded in 1999 by Ingmar Adlerberg and Raphael Douady, Riskdata provides financial risk management analysis. The company operates internationally with buy-side financial institutions mainly based in New York, London, Paris and Frankfurt, ranging from start-up Hedge Funds to large Asset Managers.
In 2014, Hervé Vinciguerra, founder of Sophis (now part of Misys), became major shareholder and Chairman of Riskdata. Eric Eisenberg was appointed CEO of Riskdata in 2015.
Risk management and portfolio construction
Riskdata computes risk indicators such as Value-at-Risk (historical and Monte Carlo), Greeks, tracking error, volatility, stress tests, liquidity risk for cross-asset portfolios. It also provides interactive risk analysis for asset managers to see where the risk is coming from inside their portfolio and risk reports for regulators or investors. Fund managers can also use Riskdata tools for portfolio construction such as optimization, to maximize the expected return of a portfolio, or replication, to create a new portfolio from a user-defined set of assets with the same risk profile as the initial portfolio.
Riskdata research
Mathematical research is key in Riskdata's history. Raphael Douady, a French Mathematician conducting researches in the field of mathematical finance and Academic Director of the LaBex ReFi (European Laboratory on Financial Regulation) works at Riskdata as Research Director.
Risk Ticker® Patent technology
Riskdata developed in 2002 an innovative patent technology which is used to represent the risk of individual instruments or market risk factors in a compact, yet complete, and easy-to-manipulate manner: the Risk Tickers® Object. Risk Tickers are daily called in Riskdata’s softwares via Internet and allow:
- To deliver and refresh all the required quantitative information,
- To represent client’s proprietary assets: OTC products, portfolios, strategies, fund of funds etc. with custom-made Risk Tickers.
Each Risk Ticker represents a single risk factor or instrument and contains all the statistical information of the instrument or risk factor it represents: its distribution of returns as well as its joint behavior with respect to other factors such as correlation, convexity, etc...
Shock VaR
The Shock VaR is a specific Monte Carlo VaR methodology developed by Riskdata that allows avoiding over or under estimating risk across market crisis. It reacts faster to changing market regimes and attempts to anticipate increases and decreases in the VaR by using micro-signals that can be revealed sometimes in pre - or post - shock periods. For example, in 2008, the Shock VaR anticipated the October drops in markets.
Bias ratio
The Bias ratio was created by Adil Abdulali, risk Manager at Protégé Partners and client of Riskdata. This risk indicator, integrated in Riskdata's products, helps in monitoring hedge funds and completing due diligence by detecting manipulation of the Net Asset Value (NAV) when illiquid securities are involved. In 2007, the Bias ratio indicator allowed Riskdata’s clients to raise a red flag on Madoff funds before fraud is discovered.
External links
References
- Risk Ticker – Trade mark number: EU004951497
- Financial Time, Bias ratio seems to unmask Madoff, 2009
- Risk.net, Quantitative tests pointed to Madoff fraud, 2009
- Bias Ratio: Detecting Hedge-Fund return smoothing, 2008
- Business Wire, Daily Shock Value-at-Risk, 2008
- Shock Value-at-Risk, 2015
- LabEx ReFi
- Hedge Fund Research Partner