A global macro hedge fund with $4.2B AUM needed to replace its existing risk framework with a more efficient, highly integrated and cost-effective solution. The fund required over 40 validated, daily portfolio risk reports before US market open. As a result, the fund was met with several challenges including inaccurate analytics, an ineffective validation process, modeling and market data issues, risk statistics aggregation by multiple custom attributes (i.e. strategies, managers, asset class, region), and regulatory (Form PF) and investor protocol-compliant (OPERA) reports.
Gravitas provided an integrated enterprise risk solution that was customized to meet the fund’s specific risk requirements for historical and Monte Carlo VaR, custom stress scenarios and modeling of complex OTC products.
Gravitas risk analysts performed UAT on the risk results for four weeks including extensive testing on the quality of risk statistics -- market value, risk model calibration, correct market data, Greeks and sensitivities for each risk factor, and custom historical, single/multi factor, conditional/predictive stress scenarios.
The complete set of 40 risk reports was generated daily, validated by Gravitas risk analysts, and delivered by 8 AM EST. Dedicated risk analysts were available to answer questions from the CRO and PMs.
Migration from a costly in-house framework to Gravitas’ risk solution produced six-figure annual savings including a nominal implementation cost as compared to other solution providers. Access to dedicated Gravitas risk analysts ensured that risk requirements were consistently met.