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Price Master

Automating challenge in the pricing process

Understanding the “challenge” involved in the pricing process

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During the pricing cycle, asset managers receive prices from multiple vendors and brokers as well as quotes from their internal desk, especially for hard-to-value securities. These quotes are used to price securities based on waterfall hierarchy and also as a reference to compare with other broker-dealer quotes. While quotes are sent by vendors and broker-dealers, the responsibility is on the fund manager to ensure accuracy in the pricing process and to report the valuation of the securities to their valuation committee and investors. Read More

How to Efficiently Manage Curve Data Throughout Your Pricing Process

How to Efficiently Manage Curve Data Throughout Your Pricing Process

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Curves and their associated data points are an integral part of the pricing process. These curves – interest rate, forward, volatility, swap, etc. – are often used as standalone prices but also act as a required input to price complex securities and as a source of useful information for multiple systems like risk, performance and front-office applications. Creating and maintaining these curves, however, becomes a very difficult and manually intensive task for funds due to the extra bandwidth required from both technical and pricing teams. Fortunately, analysis suggests there are many areas throughout the process that can be streamlined and automated, such as:

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A case for automation while Trading Structured Credit

A Case for Automation While Trading Structured Credit

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Our last two blogs on structured credit covered in detail the ever-evolving complexities involved in pricing structured instruments, especially during the pandemic. Luckily, these complexities can be managed with the introduction of automation to improve efficiency and transparency throughout the pricing process, thus leading to the generation of alpha. There are several areas within the pricing process that can be streamlined and automated as indicated below:

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