By Tom Groenfeldt

Fancy three-dimensional visualization tools have long been used to analyze risk in portfolios. Now the same tools are being used for a new purpose—cleaning the data going into those systems.

ABN Amro has begun using Visible Decisions’ In3D technology to help it spot problems in time-series data and either change the data or drill down for more detail. The visualization capability, called Curve Analytics, helps users understand the complex elements of changing risk factors. “You can drill down, get sources of data for the underlying instrument, click on the bad data point and pull up a dialogue box that highlights the bad data,” explains Joseph Wieleman, senior vice president for market risk policy and research at ABN Amro. “Then you can change it, fix it and commit it back. Bad data and missing data jump right out.”

“We were looking for ways to create efficiency and gain more insight into the data,” adds Theo van den Hurk, vice president of market risk policy and research. “One visualization can tell more than many figures and charts.” In risk management, accurate data save money, he explains, because unnecessary outliers in market data force the bank to devote more capital than necessary to support trading desks.

All data from ABN Amro’s market data vendors go into the company’s Asset Control time-series data warehouse. After the data have been reviewed and cleansed, they are distributed to ABN Amro’s branches around the globe.

The system can be programmed to delete data that are more than one statistical deviation out of alignment, but the firm prefers to have specialists evaluate the data personally. “When the requirement is for high-quality data, you still need to have a person in the loop reviewing the data that get kicked out and determining if they are bad data or not,” explains Wieleman. He notes that the work usually requires complex human judgments to determine what the correct value should be. In addition, determining the value may require looking at points above, below or back in time.

The bank is rolling out the system to more than 100 users worldwide. For more information, see www.vdi.com.

Credit Derivatives Software Online

Risk managers looking for ways to model default swaps and other credit derivatives can now get help online via streetmath.com, a service that offers models on a subscription basis. The service has recently released models for default swaps, default puts and spread options. The models are available for a fee of $750 per month. A variety of other bond and mortgage-backed securities models are also offered. A free 30-day trial is available at streetmath.com.

Product Sales

Company	Sale	Product	Contact
BancWare	ABN Amro North America	Option-adjusted VAR module to model embedded options in the balance sheet	617-542-2800 www.bancware.com
DART	Allied Irish Bank	DART++	212-888-8756 www.dartuk.com
DART	Ten global licenses to Westdeutsche Landesbank, including London, New York, Tokyo, Hong Kong and Dusseldorf	DART++ pricing software for front-office pricing and risk management	212-888-8756 www.dartuk.com
OMR Systems	ABN Amro--Chicago	Trading Assistant	609-497-2000 www.omrsystems.com

New Releases

Company	Product	Contact
ADS	ValStar, a fully integrated treasury system, and CapStar, a capital markets trading system that links bond and off-balance-sheet trading with underlying foreign exchange and money market activity, are product versions of the highly customizable ADS Global Trader.	Jack Cromer 818-591-2371
Altra Energy Technologies	Altrade, a trading platform for power, natural gas and natural gas liquids.	713-210-8033
Barra	TotalRisk for Asset Management, a risk management application designed specifically for asset managers, pension fund managers and custody banks.	www.barra.com
Financial Engineering Associates	@ENERGY 1.1 supports Y2K compliance and provides implied correlation calculations for all multiple-asset option types defined in the system. New instrument coverage includes digital options, calendar spread options, differential swaps, options on differential swaps, and both natural gas pipeline and power generation capacity options.	510-548-6200 www.fea.com
FNX	The Sierra System, which has been updated to include functionality for interest rate derivatives and structured product modules, was developed with John Hull and Alan White for high-volume and specialized trading operations.	212-363-9500 44-171-600-4102
Impact Forecasting LLC	QuickPML (Probably Maximum Loss) offers precise and flexible modeling of financial loss from earthquakes and hurricanes through its Catmandu technology.	CD-ROM available 312-456-1032
Infinity	Panorama 99.1, an integrated risk management application, now has enhanced credit and market risk analyses and advanced customization tools, including scripting.	650-940-6100 44-171-337-6000
Infinity	Devon System 99.1 supports new Brazilian and Italian instruments, enhanced straight-through processing and seamless integration with Excel.	650-940-6100 44-171-337-6000
Inventure Technologies	Internet-based business analysis for utilities markets based on Ranger and Oracle8I provides energy companies with large-scale sophisticated analysis of their time-series data, while also providing access to many users.	212-208-0600
IPI	TradeInspector, an intranet-enabled Java application that serves as a real-time monitor of trade events.	212-808-3042
IRIS Investment Support Systems	Rubyx, a suite of products for trading on electronic exchanges, including Liffe CONNECT on Windows NT.	44-171-877-0555 31-20-625-4491
IQ Financial	Risk IQ, an enterprise-wide risk management system for global financial firms that links existing systems to a data repository, where data optimization supports analysis of market risk, credit risk and cash flow.	212-250-4109
Kronos Software	Kronos Risk, an open and extensible architecture using Microsoft Component Object Model and OMG Corba, allows users to develop their own risk analytics and dynamically register new components into the Kronos Risk applications without rebuilding related executables.	Scott Stirling 44-171-739-9272 stirling@krns.com
MB Risk Management	MBRM 2-Factor Interest Rate Volatility Add-In, a module in the Universal Add-Ins suite that implements the two-factor Brace-Gatarek-Musiela model to price and manage risk in interest rate derivatives.	www.mbrm.com
NeoVision HyperSystems	Heatmaps, developed by former traders and analysts, are now available over the Internet for a wide range of financial markets. Heatmaps Pro and an Open Bloomberg data feed are required.	www.neovision.com
Numerical Algorithms Group (NAG)	Statistical add-in function wizards for Excel spreadsheets update results automatically when data are revised. NAG functions are in four books: basic statistics, multivariate methods, time-series analyses and generalized linear models.	630-971-2337
NumeriX	CalibExpress is a tool kit for building fast and flexible calibration interfaces for derivatives library development or to use with spreadsheet-based systems. LinkXpress provides automated generations of crash-protected spreadsheet add-in library functions from C or C++ code.	Brian Cooke 212-302-2220 numerix@numerix.com
Savvysoft	TOPS 2000 Credit for pricing and hedging credit derivatives handles the full range of credit derivatives in a modular design.	Le In (LeeAnn) Chen 212-742-8677
Soliton Associates	A new API, WARP-API, offers high-speed, multi-user access to data stored in TimeSquare, its time-series relational database manager. TimeSquare SQL also supports stored procedures.	416-364-9355 212-344-9388 sales@soliton.com
Standard & Poor’s	The new CreditPro 3.0 release on CD-ROM calculates tables dynamically, allowing increased flexibility in defining industries and regions. It also adds customer industry classification, sovereign default data and transition data to see the companies behind the numbers.	Free demo discs: Stuart Braman 212-438-7438
SunGard Treasury Systems	eTreasury, an Internet-enabled version of the company’s treasury management systems, provides browser-based processing and Internet communications to banks. With eTreasury, clients can delivery processing across their organizations’ intranets and use Internet-based cash management and trading services.	Jack Cromer 818-223-2300 x. 224 jack_cromer@ sungardtreasury.com

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