Opas Enhancement Partnership
When the customization
component of OPAS for a specific application exceeds a certain threshold, as
evaluated by the RiskEye management, we offer an OPAS enhancement partnership.
Typically such a partnership will be seen as a joint project requiring varying
degrees of practitioner and research input from the customer side. The final
product based on such partnerships will have a customization component exceeding
rather simple innovations such as the inclusion of new asset classes with straightforward
valuation criteria, inclusion of new underlying data in the simulation, inclusion
of different risk measures than the ones already provided, or creation of a
more user-friendly interface. We will however enter the partnership mode when
a customer requires:
| 1. | Fundamental changes to the stochastic modeling assumption for underlying market data. In particular, modeling assumptions that are not based on the generation of covariance matrices based on historical data of daily price changes. |
| 2. | Any changes which require the use of multivariate conditional distributions which cannot be straightforwardly simulated using random number generators. |
| 3. | Introduction of macro economic variable conditional analysis that requires significant change in the modeling assumption. |
| 4. | Simulation in steps significantly larger or smaller than the daily horizon. |
| 5. | Inclusion of assets with varying valuation models such as options and path dependent assets such as trading models, roll over rules and exotic derivative contracts. |
| 6. | Asset valuation models which requires interfacing with any third party information vendor or which requires accessing a database of beta, gamma and delta values at the user site. |
| 7. | Sensitivity to counter-party default probabilities with possible inclusion of counter-party credit risk modeling (See development proposal in this direction). |