OptiRisk Systems

Dr Cormac Lucas and Prof. Gautam Mitra

Contact:Address: OptiRisk Systems, UNICOM R&D House, One Oxford RoadUxbridge, Middlesex UB9 4DA, United KingdomEmail: info@optirisk-systems.com; WEB: www.optirisk-systems.com Telephone: +44 (0)1895 819 488 / 483Fax: +44 (0)1895 813 095

Outline

1. About OptiRisk

2. Mission Statement

3. The People

4. Products

5. Services

6. USP:Unique Selling Points

7. Selection of Clients

1. About OptiRisk

OptiRisk Systems is a UK based company with a global reach; the company has been set up to provide Optimisation and Risk Management solutions.

OptiRisk has customers across a number of business sectors including financial services, defence, transportation, energy, banking, consumer electronics, insurance and government.

Primary Business:• Development and Sales of software tools and components• Project work and Consulting• Training in Optimisation and Risk Modelling

2. Mission Statement

The mission of OptiRisk Systems is to be a global yet a niche player and a leader in the provision of optimisation and risk solutions. Within OptiRisk Systems we foster a culture of research and team building thus empowering our staff to achieve their full potential. We are highly customer focused and motivate our staff to provide an excellent service, which matches the business needs of the clients.

We set out to achieve our mission through- Development of models, algorithms, software systems- Acquisition and value added reselling of optimisation software and specialist

applications,- Utilising leading edge networking, computing and software technologies.- Provision of services covering training and customised applications for a number of

sectors including: Finance Supply Chain and Logistics Utilities Transportation

3. PeopleProf. Gautam Mitra and Dr. Cormac Lucas bring their experience and enthusiasm to drive this company. The company also draws upon the research experience of CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications Brunel University and benefits from the R & D support an research results of their many researchers.

Prof. Gautam Mitra FBCS, FIMA, FRSADirector & Chairman of Optirisk Systems, Director of CARISMAProf. Mitra has over 40 years of experience in Mathematical Programming Modelling, Computational Optimisation, Operational Research, Computational Optimisation, Stochastic programming and Risk Decisions in Finance.

Dr. Cormac LucasDirector of Optirisk SystemsDr. Lucas has extensive knowledge in Mathematical programming modelling, Pre-analysis techniques in linear programs and representation of logical expressions as MIPs. Dr. Lucas earned a bachelor of science degree from the Brunel University, (1981)and a PhD(1986) from Brunel University. In addition to this, he has held academic positions at CARISMA, Brunel University..

Mr Frank Ellison Mr Frank Ellison is the principal optimisation consultant ; he has extensive knowledge of optimisation models, solver systems, and decision support systems.

{ CARISMA is the academic research partner of OptiRisk systems }

The company has a highly skilled pool of manpower resources. There are 3 Phd and 4 post graduate researchers variously working for OptiRisk systems

Products

• Modelling Tools (AMPL Suite) - AMPL Studio, AMPL COM, SAMPL/ SPInE

• Optimisation Solver (FortMP/FortSP) - Linear / Mixed Integer (LP / IP) - Quadratic / Mixed (QP / QMIP) - Stochastic optimization (SP) - FortMP-MEX Matlab add-on

• Portfolio Optimisation model and engine

OptiRisk Systems sell an extensive range of software for Optimisation and Risk application(s). Our software range includes Modelling Systems for Mathematical Programming, Optimisation Tools, and a number of Optimisation Software Suites

• Liability Determined Investment(LDI) / Asset and Liability Management (ALM)

Products : Optimisation Solvers

FortMP is a large scale optimizer Solves LP/MIP/QP/QMIP problems

LP: Barrier and sparse simplex algorithms MIP: Branch and bound, cutting planes,

pre-processing tecniques QP: Branch and bound and branch and

relax Stand-alone and library version for embedding

Products : Modelling Tools (AMPL)

AMPL: comprehensive and powerful algebraic

modelling language for linear and non-linear

optimisation problems It is ideally suited for rapid prototyping and

model development AMPL has been extended to express

stochastic optimisation models (SAMPL)

Products : AMPL Products offer

DataAMPL Models

AMPL Interactive

AMPL Studio

AMPL COM Object

C# / C++ / VB / VBA Application

SAMPL/SPInE

Products : AMPL Studio

• Integrated modelling system based on

AMPL language.• Benefits:

Rich and user-friendly graphical interface Compact and easy database connection Workspace management Model (set / variables) explorer Seamless integration through memory interaction with a

variety of solvers

Products : AMPL StudioMenu Bar

Editing Area

Multifunctional Output Console

Workspace and Model Explorer

Products : AMPL – COM Object

• Object Oriented Component Library, based on Microsoft COM software technologies

• Rationale: Software building blocks utilise the features of a programming

language and AMPL individually as well as in combination

• Benefits: The components are used to build powerful DSS applications They hide models from end users – when desiderable They make readily available the full AMPL features from

any major programming language

Products : AMPL – COM Object AMPL

ModelS SolverS Command

Model

VariableS ConstraintS ObjectiveS OptionS SolTime Solution

Variable Constraint Objective

Products : AMPL Studio - SPInE

Seamlessly integrated into AMPL studio environment Extends AMPL language with constructs specific for modelling SP

problems and interprets them

Time index

Stages aggregations

Scenario tree structure

Scenario index

Random parameters

Scenario probabilities

Probabilistic constraints

Indices

Objectives

Constraints

Variables

Parameters

Products : Asset & Liability Management (ALM)

• Complex application, from data fetching to problem solving and results interpretation

• ALM model with a fixed income portfolio and interest

rate swaps

• Minimize deviations of the present value of assets

and liabilities and initial cash.

• It is composed by four deterministic model and one

stochastic

Products : LDI Information Flow

RESULTSSimulation and visualization to RISKWATCH

Market Data RISKWATCH + Data Builder

Information

DataSources

RISKWATCH + Customer Data

Builder

POPULATE DATA

Consolidator+

Diagnostic

DATA MART

#.TAB

AMPL Modelling Environment

[AMPL Com Object + LDI Model File + #.DAT File + #.RUN File]

Optimisers

- FortMP- CPLEX

AMPLMODEL

Products : LDI Project Control

Products : LDI Optimisation Engine

Products : LDI - Simulation and Analysis

5. ServicesOptiRisk systems undertake • research and development in optimisation modelling• research and development in the analysis and modelling of risk• analysis of information systems and data modelling

Our Recently Developed DSS• Portfolio Rebalancing• Asset and Liability Management• Supply Chain Management• Planning & Scheduling of Defence Assets • Purchase policy of natural oil

We run public as well as in-house training courses

• in optimisation modelling

• stochastic optimisation and risk modelling

• creation of decision support systems

6. USP (Unique Selling Points)• Specialist with deep domain knowledge in optimisation modelling and risk analysis

• Proven track record of supplying optimisation based DSS to industry leaders

• BS EN ISO 9000: 2000 ( quality standard achieved by the company )

• Committed to the highest level of client support

• Achieved investor in people accreditation in respect of management principles and procedures and staff care

7. Selection of ClientsOptiRisk has customers across a number of business sectors including defence, transportation, energy, banking, consumer electronics, insurance and government. Some of the industry leaders that rely on products and services offered by us to their power mission-critical applications

• HBOS Plc/ INSIGHT (UK)

• UBS Investment Research (UK)

• Fidelity Investment Ltd.(UK)

• Deutsche Bank (UK)

• APT INC (USA)

• MOD (UK)

• UNILEVER (UK/Netherlands)

• US Coast Guard (USA)

• British Gas (UK)

• Southern Electric (UK)

• NAG Ltd (UK)

• DTI (UK)

• Allocare (SWISS)

• NATO(Belgium)