Custom Software and Analytics Development

Our Expertise

  • Development of multi-asset class systems that support the Trading, Portfolio Management, Risk Management, Surveillance, P&L Monitoring and Attribution, Financial Reporting, and Operations functions
  • Development of pricing and valuation technology for structured finance
  • Scrubbing loan and deal-level data based on Intex, Bloomberg, loan-level databases, and other data sources
  • Construction of custom assumption curves to project prepayments, defaults, severities, and other key variables
  • Automation of Intex and Bloomberg utilizing Intex Wrapper and Bloomberg Desktop/Server API
  • Extensive background in Real-Time and Distributed systems development
  • Review of proprietary models and systems

Select Projects

  • Completely automated framework for pricing thousands of RMBS, CMBS, ABS, CDO, and CLO securities in a distributed cloud environment
  • Developed a risk and P&L reporting system for a long/short equity fund using MSCI Barra Equity Model data. Set up automated feeds to the prime brokers and MSCI to perform industry, style, and alpha/idiosyncratic factor attribution calculations
  • Developed a firm-wide cross-asset class system from the ground up which facilitated Risk, Portfolio Management, and Surveillance operations of a top asset manager with risk positions and AUM of over $90bn
  • Constructed bespoke cashflow and waterfall models to replicate rating agency stresses for an investment bank looking to bring comparable deals to market

Custom Cloud Environment

We have customized our proprietary message-oriented middleware for clients to support their in-house systems. The solution allows for:

  • Multiple system components to communicate both synchronously and asynchronously
  • Perform intensive computations away from users' desktop and on dedicated machines
  • Easily scale up computational resources and perform tasks in parallel
  • Schedule tasks which will not be limited to a single machine but executed on available resources