Data Services

Guidelines monitoring, pricing verification and factor analysis

The challenge

The client needed assistance for the timely sourcing and consolidation of data on their underlying holdings and wanted a solution that could seamlessly provide data to their internal risk systems and tools.

LumRisk’s client manages a large, diversified book of investments, including a number of complex derivatives.

The client has in place a detailed set of internal limits whose monitoring requires reliable daily consolidation of risk exposures and sensitivities based on full underlying position transparency.

Our approach

LumRisk set up direct channels with the client’s providers to collect data on all underlying positions.

We clean, normalise, enrich, and consolidate the data, then transform it into the format required for uploading into the client’s systems and for monitoring compliance with internal client guidelines and limits, with automatic daily email alerts reporting any guideline breaches.

Based on daily transparency on all positions in the client’s portfolio, LumRisk performs a full independent daily repricing of each instrument for comparison with official NAVs published for each vehicle.

The client also uses LumRisk’s Factor Analysis and Quant tools, which they have integrated via API with their own internal tools to evaluate factor loadings of their external funds.

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