Buy Side Risk Management

Ex-Ante Risk

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.

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