Cutwater Asset Management and Calypso Technology have partnered to build an asset / liability management portfolio-construction system.

The decision to develop a new platform design was made in response to the chaotic financial market conditions experienced in 2008 and 2009, especially those connected to funding risk and sharp volatility of returns. The asset allocation and portfolio construction application will be designed to provide trading and portfolio systems while increasing risk awareness.

As part of this new platform, Calypso Technology will combine Cutwater's capital risk framework, the Risk Analysis Manager, with Calypso's optimisation platform, Galapagos. This will provide a risk budgeting, asset allocation and scenario management platform that should enable Cutwater clients to explore a wide range of optimal investment strategies. Integrating Cutwater's risk framework into the Galapagos environment will allow clients to model a wide range of investment objectives, funding specifications and constraints while considering forecasts over an extended time horizon.