I have been involved with StatPro for most of my professional career. It’s a great company to work for and I have learnt a lot from the people there. StatPro provides cloud-based portfolio analysis solutions to the global investment management industry.As part of my cooperation with StatPro, in the last few years, I have been taking part in the research and development of Revolution: a sophisticated and complete portfolio analytics service.
Specifically, the parts of revolution I am partially responsible for that I am most proud of are
- The inner workings of the risk engine
- The fixed-income attribution model
- The computation of risk components
- The pricing library behind revolution
- The Standard Risk Measure for the Australian regulation of pension funds
Revolution has also a great pipeline of new features to be looking for. Personally I am involved in the research and development of
- The new risk components based on risk drivers
- The key-rate performance decomposition