Société Générale Securities Services (SGSS) has selected Algo Risk Service, a web-based portfolio construction and risk management service hosted by Algorithmics, to assist in managing the risk underlying its new asset servicing offer dedicated to complex derivative products.
SGSS has become the first European player to develop completely in-house expertise in securities services for over the counter and structured products, guaranteeing its clients complete control throughout the processes. The offer meets the needs of operators in the financial markets – fund management companies, private banks, trading rooms, issuers – who wish to delegate the technical and operating processing of complex derivative products covering all asset classes.
Rachid Lassoued and Philippe Rozental, Asset Servicing co-heads at SGSS said, ‘For this new offering, we needed a sophisticated risk management and portfolio modeling service with the ability to measure, monitor and manage investments and risks in real-time, at an affordable price. As recommended by most of the European regulatory bodies we wanted to use Value-at-Risk, complemented by the CVar, estimating the maximum loss in extreme circumstances. We also wanted to cover regulatory risk measurement, stress testing and multi-criteria risk attribution. We believe that Algorithmics’ Mark-to-Future framework will deliver these through the web, with the software and computing power hosted by Algorithmics, hence reducing our cost of ownership.’
Andrew Aziz, Algorithmics’ e.v.p. of risk solutions, added, ‘The complex derivative products being managed by SGSS defy traditional risk analysis. The Algo Risk Service provides an extensive array of simulation-based risk analytics, ranging from probabilistic measures to stress testing measures. It also offers a comprehensive range of analytical sensitivity measures such as multi-dimensional betas, durations, convexities, option greeks and PV01s, spanning systemic and specific risk factors. In addition, clients can make use of the robust portfolio modeling environment to perform extensive "what-if" analyses and for portfolio optimization.
‘The scalability of the solution will allow them easily to accommodate new methodologies and investment innovations as their clients’ needs evolve and we look forward to working with SGSS in the future.’
