AP2 requires a front office system for management and analysis of fixed income portfolios. We are looking for a system which can support investment decisions by providing quick and user-friendly ex-ante risk analysis, stress testing, portfolio optimization, back testing of strategies, and performance attribution. The risk analysis capabilities should include a multi-factor risk model for fixed income with a proven track record, and it is essential that the solution integrates seamlessly with data for our main global fixed income benchmark (Barclays Global Aggregate Government bond index).

The solution should be able to handle both absolute and relative risk analysis and performance attribution. It should be possible to carry out simulations such as what-if/scenario analyses and stress tests and to analyse the effects of changes to positions in the portfolio, both in terms of aggregated risk and broken down on underlying risk components.