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Portfolio Risk Analytics

Portfolio and Security Analytics for Multi-Asset Portfolios

Portfolio Insights

Real-time Risk, Performance & Accounting Business Intelligence Dashboard

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RISK ANALYTICS

Scenario Analysis

Calculate risk analytics for Historical Stress scenarios.

e.g.: What is the exposure and risk on current portfolio if historical scenario (such as COVID-19 or 9/11 ) repeats?

Overview

Users and managers will want to know impact of one or more historical scenario’s for current portfolio positions.

The resulting risk analytics such as Exposure, Value, VaR will be available at both the Portfolio level and for securities within the portfolio.

Multiple historical scenarios with details will be provided pre-configured (Global Financial Crisis, COVID-19, 9/11, etc. and New Historical Scenarios can be configured by user through user interface.

Results of this analysis will be useful inputs for analysis and re-positioning of the portfolio as part of pro-active risk management.

Key Features

Risk Analytics provided at both Portfolio and Security Level

 

 

Users configurable Historical Scenarios

User can modify or add new historical stress scenarios

Scenario Analysis Screenshots

View configuration and result screens for Historical Stress Scenarios

Scenario Analysis Demo

Demo running of a Historical Stress Scenario

FAQ

Here are some answers to Frequently Asked Questions.

How does the system handle missing or non-existent historical data?

Two ways –

1. Using Proxy setting at security level

2. Using ‘beta’ technique with market index if proxy is not setup 

Can we run Historical Stress Scenario calculations in real-time?

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.

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