Multi-Asset Risk System
Citi
The institution held private and public assets but assessed their risk separately, which limited its ability to see the portfolio as a whole. ALP delivered a multi-asset risk system integrating both into one view.
Scope of work
Solution architecture designed for public, private and fixed income data in a single model, built with the BI and data warehouse teams so it aligned with the investment strategy and supported multi-asset mandates from the start.
Private asset risk models developed for valuation, illiquidity risk and correlation analysis, addressing the assets conventional risk systems handle least well.
Risk metrics standardised across asset classes alongside asset-class-specific measures, with credit, market and liquidity risk frameworks integrated for private equity and private credit.
Reporting and visualisation designed for standard BI tools, presenting:
- Asset-level risk across public, private and fixed income holdings
- Cross-asset correlation
- Scenario and stress test results
Analytical tools provided to support portfolio optimisation, liquidity planning and capital allocation.
Outcome and value
- Advanced risk models in use by portfolio managers for construction, risk management and sell-down decisions.
- Calculation and reporting streamlined across processes that had run separately.
- Business and quant teams aligned, with the data warehouse and BI layer built to investment and risk objectives.
- Investor and LP reporting improved, with faster regulatory reporting.