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Capital market organizations face significant challenges in managing their models.
Explicit control of model usage, versioning, and parameterization is often
difficult to audit. Barriers may exist to sharing models across organization
lines as well as intermixing in-house and third-party analytics. Additionally,
changes to models may unexpectedly occur or conversely, may be difficult
to make. Model assumptions may be opaque, and the assignment of models
to instruments may not be clear. The large diversity and scale of instruments
and models amplify these problems, but an enterprisewide framework can
help.
CenterCalc, CenterSphere's
Analytics module, facilitates best-of-breed analytic coverage and analysis
and offers a high degree of control and customization in accordance with
sound risk management practices. It is a material step forward in strengthening
the model control environment. The key control aspects are: increased
transparency through explicitly configurable mappings between instruments
and the models applied to them; comprehensive calculation configurations
for controlled management reporting; a decoupling of supporting models
(e.g., yield and volatility curves) from the instrument analytics that
use them; and strong audit features and reproducibility.
- Provides complete, in-depth product and model coverage for enterprisewide analysis.
- Contains a thorough collection of models for evaluating instruments and fitting market parameters.
- Allows integration of analytics from leading vendors.
- Provides a strong model control environment.
- Centralizes control with respect to inputs and outputs across disparate models, product
groupings, and reporting lines.
- Contains advanced auditing capabilities with respect to changes to models, parameter
values, and calculation configurations.
- Allows customization and administrative control via specific user authorizations.
- Wide-scale versioning provides accurate reproduction of historical calculations.
- Strong typing significantly reduces model misuse.
- Significant flexibility is achieved by a component architecture, driven by a “calculation
configuration” that captures parameters and model assignments.
- Plug-and-play provided between instrument and supporting models.
- Models can be your own, or those provided by Centerprise and/or model vendors.
- More than one model can be selected for a given product family.
- Local or enterprisewide calculation configurations can be specified.
- Parameter values are user-defined for all models and can either be actual values
or references to other calculations.
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