Solution introduction
Measure your portfolio allocation robustness through historical and transitive stress tests under multiple scenarios and market shocks, cross-asset sensitivities, and Value at Risk (VaR)
With full transparency on positions, slice and dice your exposure with full repricing risk modeling to solve the most complex of cross-asset strategies with non-linear profiles. Risk reports are tailored to match institutional investors' needs, including compliance monitoring and regulatory reportin
VaR and CVaR
Compute VaR and CVaR with flexible time horizons and confidence levels to match your specific needs. Visualize the contribution of VaR from each strategy to your portfolio. Break it down by asset class, factor, sector, or a number of other market parameters of your choice.
Exposure and Sensitivities
Visualize your exposures and sensitivities by asset class and instrument type. Drill down to each individual position and measure sensitivities across multiple risk metrics. Access relevant market data to contextualize the risk figures and understand the strategy positioning.
Custom Stress Tests
Utilize transitive shock to compute correlated impact on your portfolio to a specific factor move. Apply historical shock using a predefined period or define your own. Combined multiple stress tests display convexity adjustment with impact compared to individual scenarios.
Convexity
Visualize your portfolio payoff profile under predefined sets of spot and volatility assumptions with Spot/Vol ladders by asset class. Capture non-linearity of options with full repricing of each individual position, available for each asset class (equity, rates, fX, commodity).
