RISK ANALYTICS
Ex-Post Analytics
Tracking Error, Jensen Alpha, Sharpe/Treynor/Sortino/Information Ratio, M Squared, Skewness, Kurtosis, Active Share, etc.
Overview
Analytics at both portfolio and security level that will help in portfolio analysis for understanding and manage risk include exposure, EvE, EaR and all fixed income analytics.
Key Features
Exposures at Portfolio & Security Level
Calculations for EvE and EaR Analytics
Economic Value of Equity (EvE) :
Shocked value of portfolio for stress scenarios
Earnings At Risk (EaR):
Change in Portfolio cashflows for YC scenario affecting float rate Instruments
Fixed Income Analytics: Security & Portfolio
Yield, Duration, KRD, Cashflows, ZSpread, YTM, etc
Exposure Analysis Screenshots
View screens for Exposure Analysis
Exposure Analysis Demo
Demo running of Exposure Analysis
FAQ
Here are some answers to Frequently Asked Questions.
Can we run the above calculations in real-time?
Yes.
All risk calculations can be run by users using user interface and calculation results can be viewed using web user interface.
Calculations are not batched and are run as and when requests are made.
System scales the number of engines required dynamically as volume of requests increase and the number of engines are brought down if no requests are pending thus enabling pay-per-use business model.