Enterprise Europe Network

An Irish company is offering a stock market and currency volatility forecasting program to help keep risk constant in an investment portfolio through licence agreements

Country of origin:
Country: 
IRELAND
Opportunity:
External Id: 
BOIE20191114001
Published
25/11/2019
Last update
25/11/2019
Expiration date
25/11/2020

Keywords

Partner keyword: 
Other finance, insurance and real estate
Fund management activities
EXPRESS YOUR INTEREST

Summary

Summary: 
An Irish based risk management company located in Dublin has developed a proprietary volatility forecasting program for risk management. The forecasting program is a fully systematic program that is designed to forecast stock market volatility from 24 hours in advance to one month in advance, at intervals of 5 minutes throughout the day. The company is looking to enter into licence agreements with senior risk managers and investment managers.

Description

Description: 

The Irish based company was established in 2000 with the primary aim of delivering an alternative investment approach to a broad range of clients.
The recent rise of risk parity and volatility targeting investment strategies, requires a much more accurate and robust measure of volatility. Modern portfolio management is now an exercise in risk management as much as capital allocation. This approach corresponds with the regulators requirements in the EU, for investment products to be risk rated either through the European Securities and Markets Authority (ESMA) or Packaged Retail Investment Products (PRIIPs). Pension funds are also subject to similar obligations (IORP II). It can be argued that it is impossible to accurately make these designations without a precise measure of market volatility.
The volatility forecasting program can be applied to multiple liquid indices on the markets. For example: The stock market index S&P 500, MSCI EAFE (Morgan Stanley Capital International and Europe, Australasia and Far East) Index, FTSE, Nikkei Index etc. When building an investment portfolio, it is important to understand the relationship between risk and return. As it is impossible to forecast return it is important to be able to forecast the risk an investment portfolio is carrying and from here the expected return can be estimated.
For that reason, it is important to have an accurate measure of risk. Uncertainty is an integral part of any investment process and an inability to forecast returns make the efforts to forecast risk even more important. It is now generally accepted that volatility is the best measure of risk to have in financial markets, so the ability to forecast volatility is critical in making informed investment decisions.
The company would like to enter into licence agreements as part of their added value to their business strategy. Further discussions will be at the discretion of the company and can take place under Non-Disclosure Agreements with further information provided at that stage.

Advantages & innovations

Cooperation plus value: 
• A main advantage of the program is that it has been applied successfully to the equity markets. • The proprietary program has been proven to be more accurate than other volatility forecasting models available in the market. • The program has been thoroughly tested and proven to be more accurate than competitor models like GARCH 1,1, Risk Metrics, and historical moving averages. • Access to highly accurate data feeds. • The program forecasts volatility every 5 mins. • The program works on Currencies and Equities (Stock Market). • The program measures the market 48-50 times a day versus competitor program's that measure once a day.

Stage of development

Cooperation stage dev stage: 
Already on the market

Partner sought

Cooperation area: 
The volatility forecasting program for risk management will be of benefit to a Risk Manager or Senior Investment Manager in any of the following: • Insurance companies for Solvency II. • Pension schemes meeting IORP II (Institutions for Occupational Retirement Provision) requirements. • Asset managers for risk budgeting. • Multi managers seeking to keep funds in risk buckets for ESMA or PRIIPS (packaged retail investment and insurance-based products) requirements. • A Family Office in the business of finance and investments. An ideal user of the volatility forecasting program might have the following qualifications, Chartered Financial Analyst (CFA), Financial Risk Manager (FRM), or Chartered Alternative Investment Analyst (CAIA).

Type and size

Cooperation task: 
SME 11-50,SME <10,>500 MNE,251-500,SME 51-250,>500