OppenheimerFunds is a global asset manager with over $220 billion dollars under management.  Astor Wells worked on-site responding to their equity risk management team and in-house developers.  We worked on a number of Agile projects in these areas:


Risk Management

AW crafted technical requirements to expanded existing management limit reporting from equities to derivatives.  We translated business rules for equity options (e.g. delta equivalent exposure) to development-ready code for developers..

Data management / ETL

We designed and wrote functional specifications to import MSCI’s Barra performance attribution data into Oppenheimer’s internal data warehouse.  AW also constructed benchmark portfolios that were exported to Barra for analysis on their risk management platform.

We designed and executed an updated GICS industry classification system (4-tier, 11 sectors, 24 industry groups, 68 industries and 157 sub-industries) which were used in company portfolio risk models.  Translation tables were created to migrate existing data to the new classifications.  The GICS model was applied to 30+ countries and was utilized for portfolio risk management and performance attribution.

Business Intelligence

AW designed and created several Cognos reports including those to identify asset mispricings, position risk limits, and fixed income portfolio credit quality.  For difficult queries, we queried MS SQL Server directly with SQL.  One of our projects generated all the business statistics used for reporting to the executive committee.

Vendor Management

We handled the vendor relationship with MSCI/Barra and became in-house support for all aspects for their BarraOne application with respect to portfolios (actual and hypothetical), asset pricing, benchmarks, batch transfers, and user permission management.