Buy Side Risk Management
Ex-Ante Risk
Risk Management Trends
Regulatory Mandates (N-PORT, Solvency II, MiFID II, FRTB, etc.)
Requirements to report key risk analytics (i.e. Sensitivities/VaR)
Need for periodic stress testing of portfolios
Client Demands
Risk profiles and forward looking risk measures (i.e. Ex-Ante)
Limited story: Benchmark relative analysis alone
Trends: Integrated Performance and Risk Views
Portfolio Management Needs
Risk forecasting and risk budgeting
Need for ‘What if’ Analysis to better understand risk impact on possible changes to portfolio
EX-ANTE RISK – Solution Highlights
Powered by proven analytic engines (R, FINCAD® F3 and MATLAB®)
Transparency through all calculations and data
Full right to publish results
Core analytics:
Historical VaR
Component VaR
Incremental/Marginal VaR
Diversified VaR/UnDiversified VaR
Scenario Analysis
– Configurable Custom Scenarios
Configurable Yield Curves
Economic Value of Equity (EvE)
Earnings At Risk (EaR)
Sensitivity Analysis
– PV01,DV01, Key Rate Duration (KRD)
Hedging Portfolio Details
Backtesting VaR
Look through capability
EX-ANTE RISK – Calculations
Value At Risk (VaR)
Histocial Simulation VaR (HVaR)
Expected Shortfall (CVaR)
Component, Marginal and Incremental VaR
Diversified VaR and UnDiversified VaR
Scenario Analysis
Factor Sensitivity Analysis,
Hypothetical Stress Scenarios and
Historical Stress Scenarios
What-If Analysis by change in market factors
– i.e. Yield Curve/FX/Asset Price changes
User configurable scenarios
Liquidity Analytics, Risk Attribution, Correlation Analysis, Look Through Analysis
Calculate above analysis at security level, portfolio level and also at Sector, Currency and other Security Attributes dynamically.
Earning At Risk (EaR)
Change in Portfolio cashflows for YC scenario affecting float rate Instruments
Economic Value of Equity (EvE)
Shocked value of the portfolio for corresponding Yield Curve(YC) scenario
Sensitivity Analysis
Key rate Duration (KRD), PV01, DV01, Credit Spread Risk (CS01), Risk Profile across tenors
VaR Backtesting
Comparison of calculated HVaR measure to the actual gains/losses using performance returns calculated in Eagle.