Air Worldwide Corporation (Air) today announced that hedge fund manager Fermat Capital Management, (Fermat), has chosen Air's catastrophe risk management systems to complement its catastrophe bond investment portfolio management.
Fermat, one of the largest investors in catastrophe bonds, has licensed Catrader, Air's catastrophe risk modeling application, and Alert, Air's online real-time loss estimation service.
"The Air catastrophe models that underlie the software enable us to generate loss estimates for a wide range of our potential investments," said Nelson Seo at Fermat Capital Management. "Results from these simulations will help us better manage our overall portfolio risk and to assess the likely return on specific catastrophe-related instruments."
"Catrader is the system of choice for financial institutions investing in insurance-linked securities," said Will Skinner, who heads business development efforts for the financial markets at Air Worldwide. "The system allows hedge funds and other investors in catastrophe bonds to determine potential loss distributions and quantify the correlation between bonds."
Alert, in conjunction with Catrader, will help Fermat determine the risk to their portfolio in real time from actual events unfolding. As the market for catastrophe bonds has matured, Air's Alert has become a key support tool for companies trading these instruments in the secondary market.
"Fermat is yet another example of the innovative uses being made of Air's risk management solutions to better manage the risk associated with catastrophe-related financial instruments," said Skinner.
Air has provided modeling support tailored to the needs of the catastrophe bond securitization market since 1997, both on a consultation basis and through Catrader.