Buy-side market risk management product of the year: Qontigo
Axioma Risk is a cloud-based portfolio risk management platform that offers buy-side institutions, including asset managers, hedge funds and asset owners a scalable and flexible risk solution for the complex and constantly evolving multi-asset class investment environment.
The analytics platform is based on a full revaluation methodology, enabling it to accurately capture non-linear risk from derivatives and produce fixed income, equity and multi-asset analysis consistent with market-leading front-office systems. Axioma Risk has upwards of 120 different instrument pricing models, covering equities, fixed income, currencies and commodities, as well as vanilla and exotic derivatives and illiquid investment vehicles such as private equity, private real estate, infrastructure and hedge funds.
With Axioma Factor Risk Models integrated with its analytics, Axioma Risk is also able to provide factor-based risk decomposition across any instrument with equity and fixed income risk. Clients are able to customise or create from scratch a variety of ‘risk resolutions’, which govern how different risk factors are treated in the system – for example, specifying which factor model to use, which key rates to use on interest rate curves, and which sets of spread curves to represent credit risk. By running different risk resolutions for different parts of the firm, clients can provide customised views of risk for different constituencies without introducing difficult reconciliation exercises or disjointed enterprise reporting.
The latest version of the company’s equity factor risk models cover various global, regional and country-specific markets, including Canada, the UK and North America, with new factors, enhanced methodologies, and customisations of short- and medium-horizon fundamental and statistical models.
The Axioma Granular Fixed Income Risk Model encompasses a suite of bottom-up, granular risk models constructed using Qontigo’s proprietary methodology for modelling issuer spread returns across both developed and emerging markets.
The Axioma Factor-based Fixed Income Risk Model is a cross-sectional factor model that provides risk and portfolio managers with insights into systematic macro and style factor exposures, and is able to capture a significant level of systematic risk.
Hosted on Microsoft’s Azure cloud platform, Axioma Risk analytics can be delivered interactively through a browser-based user interface or customisable dashboards, in real time through application programming interface calls, or through overnight batch reports. In addition, risk models can be loaded directly into Axioma Portfolio Optimizer for further use in hedge construction, asset allocation exercises and portfolio construction.
Judges said:
- “Axioma Risk supports a comprehensive risk management approach.”
- “The addition of the fixed income factor model to the risk management system is an attractive proposition for potential clients.”
- “Qontigo offers a strong combination of data and analytics.”
Ian Lumb, head of multi-asset solutions, Emea and Apac, Qontigo, says:
“Over the last year, we have made significant enhancements to our cloud-native risk management platform Axioma Risk. With the addition of the Axioma Factor-based Fixed Income Risk Model to Axioma Risk in July 2020, our clients can now receive valuable insights into systematic macro and style factor exposures on a single platform. This cross-sectional fixed income risk model is powered by a library of clean, corporate spread and yield curve data built on a proprietary methodology created from years of research and development.”
