PORTFOLIO MANAGEMENT
Figure 4: Real-Time Full Simulation Portfolio Management A Game Changer
management needs. As illustrated in Figure 3, this next generation technology embodies new and advanced applications needed to support
the integrated
requirements of portfolio management.
Source: Abacus Solutions Inc.
to the last decade of the last century; almost all commercial ETRM/CTRM systems were developed during the 1990s using 32-bit architecture and serial programming methods. The focus was mostly on transactional needs, a set of requirements driven by the introduction of trading to the vertically integrated utility industry. Recent developments in information technology (such as 64-bit architecture, parallel processing, and grid computing) and heightened interests in rigorous risk management methods needed to meet increased markets volatility and increased regulatory and management scrutiny, made legacy first generation systems outdated and unable to meet evolving industry needs. A second generation CTRM technology was recently introduced to the energy trading space, a technology that capitalizes on recent hardware/ software advances and offers computational and performance capabilities that enable the much needed real time full simulation portfolio
Looking Ahead Senior management and corporate directors
are raising the bar on risk managers. Recent market turbulence and on-going market volatility have heightened the importance of efficient and effective risk management practices, a situation that requires and necessitates the use of improved tools and techniques. Recent advances and innovations are enabling integrated real-time full simulation risk and portfolio management (Figure 4). Management expects solid well founded solutions and they expect them when they ask for them – in real-time. •
Dr. Salim J. Jabbour is the founder and CEO of Abacus Solutions Inc, developer of SATURN, a modern highly integrated ETRM software system that offers broad solutions.
E:
sjabbour@abacussolutionsinc.com www.
abacussolutionsinc.com
SATURN: A Game Changer SATURN is a web-based integrated enterprise commodity transaction and risk management system, offering
decision support capabilities and unique real-time full simulation portfolio management. SATURN is viewed as a game changer technology, primarily because it enables much needed important applications that have not been achievable despite many attempts in recent years. SATURN’s unique capabilities can be attributed to four differentiating features: 1. SATURN is a fully integrated system that offers broad applications including trade capture and valuation, market simulation, parameter calibration, generation optimization, load analysis, credit management, business intelligence, financial analysis, risk management, and portfolio optimization.
2. SATURN has a set of full simulation and optimization capabilities that enable superior and rigorous solutions including advanced Efficient Frontier portfolio management and optimization.
3. SATURN is based on a modern architecture that makes it easy to deploy, easy to maintain, and an easy to use system in addition to providing on command vertical and horizontal scalability.
4. SATURN delivers superior performance that enables the processing of large amounts of data very quickly and facilitates key applications in real time or near real time.
SATURN uses very efficient optimization techniques that enable finding solutions extremely fast; according to
several benchmarks, SATURN is 50-100 times faster than competing tools. Equally importantly, SATURN uses a 64- bit architecture that enables holding over 100 times more data in system memory than legacy 32-bit systems and then retrieving it extremely fast for real time processing.
SATURN’s ability to offer sophisticated full simulation portfolio optimization solutions in real time is a significant
breakthrough and a game changer. SATURN embodies proprietary methods that blend theoretic techniques and practical insights which enable finding optimised solutions very efficiently and therefore quickly. SATURN users can perform real-time on the fly portfolio optimization using a full simulation solution, a process that typically takes many hours (even days) and requires many powerful computers. Finding these solutions very quickly facilitates improved trading decisions that improve portfolio returns and/or reduce portfolio risks.
28 December 2010
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