[R-SIG-Finance] R / Risk measurement and the problem of data

[ngottlieb at marinercapital.com]

Sylvain:

Depends on how many seats you think you need for Bloomberg which
would most likely be a function of the number of Traders you have on the desk
And probably number of back office people and risk manager.

I don't know the pricing of Global Insight.

There is no one single source for data, most use
A combination of service providers.

What exactly, if you don't mind me asking, are you trading?

Last, another option, since starting a Hedge Fund is not cheap, despite
the "excitement" of potential enormous fees is jump starting
By using a Fund Administrator.

The advantage of that is you get portfolio accounting done for you, reconciliation
support, possible risk analytics etc.

You should find Fund Admin providers on Bob's Guide, there are a lot.
The two I know are GlobeOp and Citco.

Finally, depending on who you select for your PB (Prime Broker),
many give out good support tools. In fact PB's are in many ways
becoming software firms, that's why we see firms such as Morgan Stanley
buying former publically traded Barra.

Suggest to launch, pick your PB(s), see what they have to offer
And go from there. (example: Lehman has a reasonable risk analytic
product called Lehman Point, which would be provided if they were
your PB... this is NOT an endorsement  :)!

Regards,


Neil 

-----Original Message-----
From: Sylvain BARTHELEMY [mailto:barth at tac-financial.com] 
Sent: Wednesday, June 20, 2007 11:35 AM
To: Gottlieb, Neil; r-sig-finance at stat.math.ethz.ch
Subject: RE: [R-SIG-Finance] R / Risk measurement and the problem of data

Hi Neil,

Your post is very interesting and I didn't know about bobsguide, very interesting too !

Do you think that a combination of the various data sources that you suggest would be cheaper than Bloomberg, $14k/year ? And what about data providers like Global Insight ?

Regards.

---
Sylvain Barthélémy
Research Director, TAC
www.tac-financial.com | www.sylbarth.com


-----Message d'origine-----
De : r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] De la part de ngottlieb at marinercapital.com Envoyé : mercredi 20 juin 2007 16:20 À : fabricemcshort at hotmail.com; r-sig-finance at stat.math.ethz.ch Objet : Re: [R-SIG-Finance] R / Risk measurement and the problem of data

The issue to your questions is:

1- What type of instruments do you trade? 
2- In terms of risk management are you looking to:
   a) Track a benchmark and weight positions according (Portfolio Optimization).
   B) Look at attribution by industries, sectors, primary factors as interest rates, etc(Style Analysis)?
   C) Stress test your positions?

R can provide a lot of the analytics you need. The data is another issue.

Yes Bloomberg is very helpful but expensive (approx $14K per year per seat).

Barra now owned by Morgan Stanley is more equity focused but has been Doing some fixed instrument support.

Depending on answers to above questions, suggest as alternative to Barra Look at Northfield Information Systems (think the site is
http://www.northinfo.com)
They offer some fine risk analytics, the data needed and software.

Last, one of the some of the most difficult instruments to model and get data on Are Credit Default Swaps (look at http://www.markit.com).

Interest Rate Swaps are also difficult to model and get data on. Might try looking At http://www.tradeweb.com


Last, if you want to maintain your own Security Master you will obviously
Need a Database Product such as SQL Server, Oracle, Sybase.

And one of your best sources to find needed products for data sources,
applications is check out
Bob's Guide (http://www.bobsguide.com/).

You are definitely looking at mid to high 6 figure budget for a good
Risk reporting system, not including, developers.

Hope this helps...
Neil

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Fabrice
McShort
Sent: Wednesday, June 20, 2007 2:32 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] R / Risk measurement and the problem of data
Importance: High




Dear Experts,I come back to you for one question. We decided to use R
Project for our risk management (reporting) system. Because, our funds use
derivative instruments, we will need to use many packages such as
'Performance Analytics Package' 'VaR package' 'fOptions package', etc.So, my
question is what type of database we will need? Bloomberg data, Bara data,
Datastream, etc. Other point: Is the system (R) is able to use these
principal sources of data? This problem is very important in order to have a
good estimation of the final cost of the system! I will be happy to have
your opinions about this point.Thanks!Fabrice
_________________________________________________________________
David Guetta a réuni les sons les plus connus de Messenger dans le Mix
Messenger, le son de l'été ! Téléchargez-le gratuitement !

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