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