Risk system Tender AP7 2013/65
Sjunde AP-Fonden (AP7) is initiating procurement (negotiated procedure) of an ex ante risk system (ASP solution). The objective is to get a common platform for risk analysis, risk budgeting, control and regulatory reporting.
The solution should be able to handle both absolute and relative risk analysis.
It should be possible to carry out simulations such as what-if/scenario analyses and stress tests and to analyze the effects of changes to positions in the portfolio, both in terms of aggregated risk and broken down on underlying risk components. The quantitative models used within the VaR framework (pricing tools, estimation of volatilities and correlations, etc.) should provide for a high level of accuracy. All data used within the VaR framework should provide for consistency, timeliness and reliability and must be offered as part of the solution. The proposed solution must fulfill the requirements set out in 'CESR's Guidelines on Risk Measurement and the Calculation of Global Exposure and Counterparty Risk for UCITS' , when using a Value at Risk approach to calculate Global Exposure. The solution should be able to analyze long/short portfolios of equities as well as leveraged portfolios.
The main focus will be on market risk including but not limited to exposure, VaR, Expected Shortfall, risk factors, scenario analysis and stress testing. The possibility to include counterparty risk and liquidity risk within the solution will be of interest. Factor modeling and risk budgeting capacity is considered a strong positive.
We are looking for a system which can support investment decisions by providing quick and user-friendly ex-ante risk analysis, stress testing and back testing of risk forecasts.
Sista ansökningsdag
Tidsfristen för mottagande av anbud var 2013-10-24.
Upphandlingen offentliggjordes den 2013-09-24.
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Upphandlingshistorik
| Datum |
Dokument |
| 2013-09-24
|
Meddelande om upphandling
|
| 2014-06-09
|
Meddelande om tilldelning
|