Real Time Analytics and Risk Management

Vichara can show you how to harness the power of the latest technologies to build next-generation risk management systems.

We can help you take advantage of technology innovations such as grid computing, NoSQL, columns stores, cloud computing, OLAP, SSD, etc. to build powerful systems that deliver real-time analytics and risk management. We have built such systems for some of the largest and most important capital markets companies in the world.

Representative projects

Emerging Markets Fixed Income Trading

Global real-time pricing and analytics platform for emerging market bonds and CDS, including a high performance pricing engine, support for multiple benchmark price sources, relative value analysis, historical performance charting, automated reporting, and fast real-time distribution to bank’s traders, sales people & customers globally, as well as to Bloomberg.

Structured Products Portfolio Valuation

Large scale implementation of Vichara V* RMBS platform used by bank globally to manage $25B portfolio of asset-backed securities, primarily non-Agency RMBS and ABS CDOs. Helped develop and integrate bank’s proprietary prepay/default/severity model, additional performance analytics for trading decisions, Basel II reporting, surveillance reporting, and bid list process automation. SaaS (software as a service) model using large computation grid on Amazon cloud and big data management framework.

Non-Agency RMBS Analytics

Advised hedge fund on feasibility of creating a large-scale RMBS and ABS CDO analytics engine using loan-level data and models. Created foundation for non-Agency RMBS analytics using Intex and other mortgage data.

Structured Products Portfolio Management

Comprehensive cross-asset, multi-currency portfolio management system used by portfolio workout group to perform quasi real time valuation, risk, analytics, data management and P&L for bank’s structured fixed income products portfolio including ABS, RMBS, CMBS, CLO, CDO, corporate bonds, ARS ,CDS, TRS, interest rate swaps, cross currency swaps, FX rolls, repos, deferred fees, etc.

Non-Agency Securitization and Trading

Comprehensive platform to support very large scale residential whole loan acquisition and securitization, including whole loan trading systems, due diligence systems, loan-level prepay/default/severity model implementation, best execution whole loan pricing systems, securitization tools, rate sheets, customerfacing systems, servicing valuation, and secondary trading anayltics (residuals, RMBS, ABS CDO, ABX).