Financial Risk Management
Main Features
Managed Accounts' risk profile generation
- Calculation of private accounts risk profiles according to investment strategies and benchmarks
- Absolute and relatve risk decomposition analysis per asset class, geographical sector, position, etc.
- Intra & inter currency risk diversification analysis
- Variance/Covariance, Monte Carlo and Historical simulation methods for VaR calculation
- User defined risk calculation profiles: confidence interval, time horizon, risk method, pricing models, valuation methods, return method, observations window, thresholds. Capability of defining more than one profiles to compare risk results.
- Counterparty and concentration exposure monitoring
Design Stress-Testing scenarios based on specific investment startegies
- Create empirical scenarios based on significant that happened in the past or expert-based which are further subdivided in user defined and predictive scenarios
- Design user defined scenarios with absolute or relative changes to specific instruments, risk factors and asset classes
- Maintain historically all scenarios’ results for audit reports
- Extract comprehensive reports for each scenario
- Compare stress results of sub-scenarios based on multiple severity levels of each scenario and multiple time steps
What-if Scenario Analysis
- Cloning and modification of original portfolio constituents or new investment strategy generation retroactively and determination of what risk/return profile the portfolio would have generated in the alternative scenario
- Static copy of the original portfolio for a chosen period and comparison between the portfolio manager and a buy-and-hold strategy