The award was given for StatPro Risk Management, a risk application that is integrated with a detailed data service covering 74 equity markets, 65 fixed income markets and now also features a new liquidity risk model.
StatProâs Risk Management model is based on historical simulation, corrected to take into account jump-to-default and event risk. It covers 260+ pricing functions and uses QuantLib, the open source library of financial pricing methods, as the building block of its pricing formulas.
In September, StatPro launched a new version of the solution, StatPro Risk Management 5.70, delivering the new model to measure market liquidity risk to its clients.
Commenting on the awards (which are voted on annually by a panel of industry experts for excellence in financial IT solutions and services), Dario Cintioli, Head of Risk at StatPro said: âWe are delighted that StatPro has been awarded this title, in recognition of the hard work we put in over the past year. Our liquidity risk approach is truly innovative and will enhance our risk offerings.â