Pricing and analytics: Bloomberg wins Risk Markets Technology Awards 2022
Bloomberg wins Risk Markets Technology Awards 2022: Pricing and analytics: structured products/cross-asset
Structured products are becoming increasingly popular, but in a low-yield environment there is little room for error. Firms must differentiate their offering and ensure they have the right structure, pay-off and underlying for the risk profile of their customers. Bloomberg’s Derivatives Library (DLIB) offers a one-stop shop for trading and managing structured products, bringing tier one structuring capabilities to both the buy and sell side. The highly automated, hosted application is designed to cover any product, even the most exotic, offering scenario analysis, stress testing, collateral management, market, counterparty and credit risk management.
DLIB allows buyers and sellers of structured products to view and share their deals, portfolios and ideas on the Bloomberg Terminal, perform back testing and define key terms. Bloomberg’s pay-off scripting technology can add coverage for the most customised exotic products in a matter of minutes. It can also be used to compute relevant metrics such as the probability of hitting a barrier or expected coupons.
Since DLIB provides automatic life-cycle management, it can help users comply with the Packaged Retail and Insurance-based Investment Products Regulation (PRIIPs) by generating the PRIIPs output throughout the life of deals. DLIB also helps users understand the major aspects of a deal, including life-cycle events, probabilities, scenarios and back testing.
DLIB can be accessed through Bloomberg’s Multi Asset Risk Management System (MARS) which provides buy-side clients, such as insurers and pension funds, with tools that automate report generation and manage the asset liability management (ALM) of their portfolios.
Bloomberg’s cross-asset, real-time and historical market data sits at the heart of DLIB and is available as standalone feeds or integrated with desktop analytics and risk systems. Coverage for the most customised exotic products can be added in a matter of minutes.
Users have access to pricing libraries for vanilla and exotic instruments and pre-integrated input data for valuations. Positions and prices flow through to all other Bloomberg products allowing consistency from execution through to risk management and back-office functions. This integration means structured products can be analysed alongside any other financial instruments in a portfolio context.
Throughout 2021 Bloomberg updated its market data analytics deploying machine-learning techniques such as unsupervised clustering to weed out unreliable data sources. Bloomberg expanded its mapping technology, mapping complex fixed income structured notes to DLIB, with the aim of enabling firms to manage structured products as easily as managing bonds. It also continued to update its Libor transition products, adding support for pricing Risk Free Rates (RFR) based structured notes using DLIB functionality.
Judges said:
- “Bloomberg’s Derivatives Library can add coverage for the most customised exotic products in a matter of minutes”
- “Integration of data and analytics across systems allows structured products to be analysed as part of a wider portfolio”
Abdessamad Khaled, Head of Structured Products and Derivatives Pricing at Bloomberg, says:
“Bloomberg’s goal is to make trading structured products as simple as it is for bonds. We understand that cost efficiency and ease of access are a primary focus, hence our automated solution allows clients to access products easily, spending less time and money doing it. Bloomberg’s automated workflow solutions for structured products are an integral part of our risk management offerings. These capabilities are already helping brokers scale up their structured products coverage to meet growing demand from the buy-side. The technology enables innovation and allows new products to launch in an unrivalled time to market.”
This article was reproduced from Risk.net.