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General Information
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Department for this solicitation:
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Procurement
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Date Prepared:
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10/26/23
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Types:
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RFP
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Advertisement Type:
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Service
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Materials
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Service & Materials
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PW Construction
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Agency Construction
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Real Estate
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Solicitation/Project#:
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PSERS RFP2023-4
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Solicitation/Project Title:
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Multi-Asset Investment Risk System
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Description:
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PSERS is seeking a multi-asset class investment risk system used to calculate risk
analytics daily across the Defined Benefit Plan and inform investment decisions made by
PSERS’ Professional Staff. A key requirement is that the solution should allow for the ability
to batch on-the-fly risk computations after overriding contents of security/position files and
readily model/measure investment risk of public equity, public fixed income, public real
assets (i.e., commodities, infrastructure, REITs), private equity, private real estate, private
infrastructure, private timberland/farmland, private credit, hedge funds, and other niche
allocations. Other desired features from a system include private asset and hedge fund
holdings transparency/aggregation, total portfolio factor models, risk decomposition by
x-sigma-rho and global/local benchmarks, data visualization tools (either built-in or through
third-party tools), stress testing/scenario analysis capabilities, an economic scenario
generator, API support, what-if analysis, performance attribution, and compliance modules.
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