Section Location
Feature
Admin Sub Menu:
Active Sessions
Active sessions row menu offers more options: edit, reset passw
reset user (refreshes user lists from database and clears batch
locks)
Admin Main Menu
User Hierarchy Manager: New tree representation for user hierarchy
Admin
Admin Sub Menu: Account Policies
New Client information available to administrator
Batch
Job
Batch Job Row Menu
Run Batch Job immediately and Export Batch Job options
Editors
Editor Windows
New windows open at the top of the screen
Export
Main Menus per Section
Export for Horizon Groups, Indexes, Market Groups, Position Groups, Processed Indexes, Risk Settings, and User Filters
File System
Import Main Menu
Prompt user before deleting file from the File system
Home Main Menu
New site map with improved access to all RiskManager function
Home Page
Home Top Link
Market Dates moved into view (more easily visible)
Improved import log file, displays line numbers
Import Main Menu:
Completion Window
Link to download position errors/import log file after import
Import
Import Main Menu
New import for Horizon Groups, Indexes, Market Groups, Posit
Groups, Processed Indexes, Risk Settings, and User Filters
Index Builder
Position Sub Menu : Index Builder
New Index Builder: Manipulate multiple position sets consisting
position groups or other indexes to create a custom weighted
benchmark.
Pops Up On
Completion
Informs user of the number of objects deleted/duplicated
Searching by all columns rather than just the ”name” column
List Pages
Bottom Row of List Pages
Change lines per page from the list page
New Market Data List displays long name with Security ID
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New Position Group Editor – allows creation of groups of positio
groups called Super Groups
Allows complement of an entire group
Filtering by Engine tags, which include position type, currency,
yieldCurveFamily, longShort, and maturityDate ()
maturityDate can be specified by multiple ranges of years to ma
Allows union of tags or groups in addition to intersection
Allow exclusion of specified tags
Position
Groups
Position Sub Menu :
Position Group Main
Menu : New Position
Group Editor
New blue folder icons indicate specified filters that define a grou
Choose favorite login page
Jump to favorite page immediately
Choose display of main menus on top links versus main pages
Preferences Top Link :
Page Setup Tab
Choose button display as text, images, or form elements
Edit Report Setup options
Preferences Top Link :
Report Setup Tab
Choose to hide legacy reports from the “Create a new report” window (Original Credit Exposure and Single Statistic Reports)
Preferences Top Link :
Defaults Tab
Set a default permission item (shared or private) that will be utilin newly created objects
Preferences
Preferences Top Link : User Profile Tab
User Profile is now the default tab
Processed Index List – Allows user to process an index multiple
times to achieve a snapshot in time of the rebalanced positions
Processed
Indexes
Position Sub Menu :
Processed Indexes
Allows user to set as “active” a single processed index per indewill represent the index in a report.
Engine dimensions distinguished from user defined tags in
dimension fields by blue font color
Report Main Menu :
Create a Report
New report names, tool tip descriptions for report types
Reports
Report Top Link : Row Menu, Generate Report
"Information on Statistics" is displayed after running report, inclu
number of invalid or expired positions
Stored Reports
Report Sub Menu :
Stored Report List
Stored Reports are sorted by date
Searching functionality added to user defined stress test
Fill Down link is now always visible on user defined stress test
Stress Test
Stress Test Main Menu:
User Defined Stress
Test
Change base currency display
Site Map link for more convenient access
Top Banner
Top Banner
Top link menu system for improved navigation
User Filters
Position Sub Menu : User Filter List
User Filter List allows filtering of positions according to owner
RM3.4 Changes to Swaption Asset Type
This note describes the changes made to the asset type Swaption in RM3.4.
1. A new yield-based pricing approach is offered, with the existing price-based formula still available for backward compatibility.
2. For positions that have a specified underlying swap rate, a bug has been fixed.
3. The start dates for both fixed and float legs, and the first coupon date for float leg, have been dropped. Existing positions with such dates specified are still acceptable but those dates are ignored.
4. The first coupon date for the fixed leg, if specified, now has to be later than the option expiration date. This constraint was not in previous versions.
5. The option expiration date is now taken as the start date for both legs. For positions which have no specified start dates for the legs (fixed or float), the first coupon amounts calculated will be different when the option expiration date is not on a regular coupon payment date. This in turn will alter the inputs to the internal option model (strike price, underlying price, etc.).
Consequently, for such positions the PV and VAR results will be different.
6. We now only handle European type Swaptions. Any existing American type Swaptions are still be acceptable but are treated as European type now, i.e. with the American type ignored.
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RM3.3 Release Features
Mortgages
Market Risk for Mortgages is now supported by RiskManager and DataMetrics (US Agency:
Fannie Mae, Ginnie Mae, and Freddie Mac Pass-Throughs Conventional FRM, Balloons,
I/Os, P/Os).
Credit Exposure and Limits Upgrade
This extensive upgrade to the credit exposure model now allows users to dynamically define
a netting agreement hierarchy, define and apply different sets of exposure limits, view credit
exposure statistics as percentages, with/without exposure-level and horizon detail.
Multiple Position/Benchmark Pairs
With this powerful new feature, clients can select as many different portfolios and
benchmarks as they want and run them in a single report. This is especially helpful for fund-
of-funds, or Asset Managers which want to assess different portfolios/strategies.
Delta Equivalents
Clients can analyze their portfolio's sensitivity to all underlying risk factors (time series).
Simulation Returns Analysis
Analyze historical or Monte Carlo simulation return vectors by any drill-down
dimension. Result can be viewed and exported. This powerful report allows users to
compare returns of positions, or any drill-down dimension. Historical returns are
presented date-wise. Monte Carlo returns are presented by simulation trial
number. This report exposes the returns that are fed into the RiskManager VaR
statistics.
Market Data Upgrade
Several new features were added to give clients better visibility into their market data.
a) Time series history report - using the same powerful reporting mechanism used through
RM3, user-selected time series may be viewed or graphed. View and export prices of
time series listed date-wise.
b) Correlation/Volatility report - shows the vols & correlations for a user-selected set of time
series.
c) Exportable market data reports (XML/PDF/tab-delimited). This powerful report is built on
a concept of Market Data Groups. Users can select any of the time series in their Market
Database, build a collection of these time series, and generate historical data reports.
Position Import Enhancements
With these enhancements, RiskManager now has its most powerful and flexible support for
the import of client positions.
a) Powerful Delete features at Import time: Delete by Position Group/Tag Value, or use a
new concept called "Auto Delete", whereby the user picks a tag dimension and RM3.3
removes old positions with tag values matching those being imported. Very useful for
large institutions that manage many different portfolios.
b) During import, the user can apply position tags in an ad hoc fashion.
Miscellaneous
b) Powerful position handling: group operations (duplicate/delete/tag)
c) Report export to file (XML/PDF/tab-delimited), for both Batch and Interactive.
d) Logging - better, more detailed logging of errors. Supports better troubleshooting.
e) Notification of most recent market data update (on login and main page)
f) More convenient/powerful position tagging mechanism.
g) Administration of users and groups is easier to maintain.
h) Users may control column width and the number of columns to display in a single
viewable frame by using the expanded functions in "report setup".
RISKMANAGER
Product Summary and Architecture
RM3 Architecture Diagram
Click for definitions
Desktop browser
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RiskManager Product Summary
Summary Description:
RiskMetrics Group's RiskManager™ ("RiskManager") is an interactive risk application designed to compute and report on various types of Value-at-Risk statistics for a portfolio of financial instruments. RiskMetrics Group's RiskServer™ ("RiskServer") is the analytics engine that underlies RiskManager. If licensed as such, RiskServer can be called directly by an end-user choosing to bypass the RiskManager interface.
The entire RiskManager/RiskServer System can be installed locally at a client's site. RiskMetrics can also host RiskManager for clients on an ASP basis (described fully under separate cover).
Platform and Architecture:
RiskManager is a multi-tiered client-server application with a web-based front end. The
application is written in Java and utilized a JSP (Java Server Pages) framework to serve web pages to end- users via their web browser. The application is completely interactive and allows each user to explore portfolios, add positions, design reports and run risk analyses. User positions, reports and other settings are stored in a client's local SQL database.
RiskServer is a server-based engine that accepts XML queries containing lists of financial positions and a description of desired risk analyses. RiskServer returns results via XML immediately after processing. RiskServer runs as a service on one or more TCP/IP ports. RiskManager uses RiskServer for all of its analytics by automatically creating XML requests for RiskServer based on the types of positions and reports specified by the end-user. RiskManager also parses XML results returned by RiskServer and displays them as standard or customizable formatted reports. If licensed as such, RiskServer can be accessed directly by sending an XML query directly to a port on which RiskServer is running. The specific dialog of XML used to communicate with RiskServer is called RML for which there is a fully published schema available on-line at www.riskmetrics.com.
All RiskServer calculations are based on historical time series of prices, rates, yields, and volatilities, that are stored in a SQL database. Users may load their own data in addition to using time series provided by RiskMetrics Group through its DataMetrics service. RiskManager and RiskServer both include facilities to download DataMetrics data via the Internet (given appropriate proxy/firewall
configuration) into a client's local SQL database.
RiskManager and RiskServer are designed to be run on Windows NT or Windows 2000 platforms ("Workstations") only. Access to RiskManager for end-users is via Internet Explorer 5.5 or higher and can be from any platform. Access to RiskServer is via any standard TCP/IP socket connection and can be from any platform as well (e.g. Unix). RiskManager and RiskServer are designed to use Microsoft SQL
Server 7.0 or SQL Server 2000 (strongly preferred) only as their backend database.
RiskManager End-User and RiskServer Workstation Licensing:
Each end-user of RiskManager requires their own unique User Name and Password to log onto the system. Users access the application itself by pointing their Internet Explorer browser to the address of a
Workstation running RiskManager. Multiple end-users can log onto RiskManager at the same time provided that they each have a unique User Name. Concurrent use by more than one end-user logging on with the same User Name at the same time is not allowed. End-users with administration privileges have complete control over the creation, maintenance, and deletion of all User Names. RiskManager is licensed by defining the maximum number of unique User Names that can be created in the system.
RiskServer is licensed on a per-Workstation basis. Multiple copies of RiskServer can be run on one Workstation at the same time under a single Workstation's license. Multiple copies of RiskServer running on multiple Workstations can be run in tandem with the use of a RiskServer's Director Service.
RiskManager requires at least one copy of RiskServer to be running on a Workstation in order to operate; multiple RiskServers running on multiple Workstations enhance performance when more then one end- user operates RiskManager at the same time.
RiskManager and RiskServer licenses are time-dependent. They are activated upon installation and automatically terminate at a pre-defined expiration date.
RiskManager and RiskServer require Microsoft SQL Server 7.0 or SQL Server 2000. Clients must license this software directly from Microsoft.
System Components
Primary Components of the System:
Jakarta Tomcat:
This is the component that processes the Java Server Pages that make up RiskManager and serves the resulting Dynamic HTML output to end-users via their browser. JavaScript is used within the HTML output to provide dynamic interaction. Java Applets are not used by the application. Jakarta Tomcat is produced by the Apache Software Foundation.
RiskManager:
This is the entire set of Java Server Pages that comprise the application itself. RiskServer:
The underlying analytics engine. Written in C++ with a Java wrapper for TCP/IP socket connectivity. More then one copy of RiskServer can be run at the same time to serve multiple end-users simultaneously.
Market Service:
Controls the downloading of Market Data from DataMetrics via the Internet into the local SQL database. Also controls importing of client's own Market Data (if applicable) into the same database.
Director Service:
Allows routing of XML requests to multiple copies of RiskServer running on one or more PC Workstations.
RMX Service:
Allows automatic upload of RiskServer XML Queries. Central Control Service:
Allows configuration and monitoring of RiskServers, Market Services, and Director Services.
On-line Help:
Complete Help and Tutorial System. RML Schema:
Complete on-line reference for RiskServer XML Queries and Results.
Required Components not included in the System:
Microsoft SQL 7/2000:
Stores all Market Data, Positions, settings, and user-data. Internet Explorer 5.5+:
For end-user access to the RiskManager interface. Adobe Acrobat Reader:
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System Functions
General RiskManager Functionality, by heading:
Positions:
Allows end-users to import, export, create, edit, and delete positions and portfolios. Also allows end-users to define a complete position hierarchy based on manager, region, desk, strategy, or any other arbitrary tag.
Market Data:
Allows viewing and graphing of underlying historical time series. Preferences:
End-user settings such as passwords, base currency. Stress Testing:
Allows end-users to import, export, create, edit, and delete stress tests and scenarios for use in subsequent analyses.
Reports:
Allows end-users to design and run risk analyses based on customizable reporting templates. End-users can drilldown to any level of detail from total portfolio to sub- position.
Other RiskManager Functionality:
Batch Mode:
Allows scheduling of importing positions, downloading Market Data, running reports, and exporting results.
Security:
Allows end-users to control the access and sharing of positions, reports, and analyses by other end-users.
RMClient:
End-user application that allows remote automation of various RiskManager functions such as uploading and importing portfolios, running analyses, and downloading finished reports.
RiskServer Analytics Functionality (standard and optional):
Standard Position Types:
Amortizing Bond, Amortizing Swap, Bond, Bond Future, Option on Bond Future, Bond Option, Cap, Cash, Cashflow Stream, Collar, Commodity, Commodity Average Rate Option, Commodity Double Barrier Option, Commodity Future, Option and Commodity Future, Commodity Option, Commodity Single Barrier Option,
Convertible Bond, Equity, Equity Average Rate Option, Equity Double Barrier Option, Equity Future, Option on Equity Future, Equity Option, Equity Single Barrier Option, Floor, Forward Rate Agreement, Floating Rate Note, FX Average Rate Option, FX Double Barrier Option, FX Forward, FX Option, FX Single Barrier Option, Inflation Indexed Bond, Interest Rate Future, Option on Interest Rate Future, Money Market, Overnight Indexed Swap, Swap, Swaption.
Optional Position Types:
US Agency Mortgage-Backed Securities (models pre-payment risk). Risk Methodologies:
Monte Carlo Simulation, Historical Simulation, Parametric Risk Settings:
User-defined lookback windows,decay factors, base currency, and number of simulations.
Position Count, PV (Present Value), PVBP (Present Value of 1 or more basis points), PVBP Delta, Stress Test PV, Stress Test PV Delta, VaR.
Statistics may be run in absolute currency, as a percentage of market value, or relative to a custom-defined benchmark.
Other Statistics:
Volatilities and Correlations, Simulated Returns. Optional Statistics:
Base Credit Exposure, Expected Credit Exposure, Maximum Credit Exposure (supports flexible netting agreement rules and limits management). Stress Testing:
Historical Point-to-Point, User-Defined, Predictive Scenario Generation. Risk Factors:
Interest Rates (included effects of spreads), Currencies, Commodities, Equities, Volatilties.
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RM3 Key Features I
Web-based application
Zero-deployment (for IE5 browsers)
ASP-capable
Reduced tech support burden (installations, demo’s, data, updates) Allows IMMEDIATE client use
Multi-user
Multiple users can access same positions and reports Expose functionality according to user/user type Process once, view many
Secure
Multi-level Security model
SSL (Secure Socket Layer) – Encryption, Digital Signatures.
Scalable
Laptops to Enterprise servers
RM3 Key Features II
–Data-on-demand caching –Dynamic web-based Reports.–Unlimited sets of Risk Assumptions used by reports. –Unlimited Columns of mixed statistics.
–Unlimited Drill-Down dimensions. –Unlimited Aggregation Levels.
–Multiple Date Calculations in single report - multiple risk settings. –Extensive Suite of Customizable Reports.
–Presentation Quality PDF Report output. -Emailable Dynamic HTML Report output -Excel-ready text delimited report output. –Single and Double Barrier Options.
–Credit Exposure Module (available at extra cost). –Amortizing Bonds and Swaps.
-Full Option coverage: on physicals, futures, exotics.
-Vega Risk on all options. Volatility Smile data ready (data available at extra cost). -Overnight Index Swaps.
-Inflation Protected Securities.
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Setting up RiskManager3 PC Clients
RM3 Client PC Configuration
You can use a Microsoft Internet Explorer Browser to access the server hosting RiskManager 3. The Browser is the user interface to the application. Whether you are using an installation of RiskManager 3 and Risk Services on your own company network (your own LAN), or whether you are using the
RiskManager 3 ASP Service from RiskMetrics Group (via the web site rm3.riskmetrics.com), you will need to set up each client PC to work as an effective client for RiskManager 3.
This is straight forward. You need to make sure you have the appropriate version of Internet Explorer, and that two free “plug-in” modules for Internet Explorer are installed. You also need to make sure that the local network connection to the internet doesn’t use web page caching via a Proxy Server. You will then be ready to use your own installation of RiskManager 3.0, or the ASP Service.
Internet Explorer Version and Plug-ins
The configuration required for a PC that will be a client of RiskManager 3 is very simple. The requirements are as follows:
1. You will need to be using Microsoft Internet Explorer version 5.0. To check the version you have installed on your PC, go to the “Help” Menu on Internet Explorer, and select “About Internet Explorer”. On the information panel that appears the version number will be shown. You should be looking for the version number to be “5.0” or greater.
If you need to upgrade your Internet Explorer version, then please do so now.
Netscape Navigator is not supported on RiskManager3 or any other Internet browser other
than Microsoft Internet Explorer.
2. You will need the free Adobe Acrobat Reader Internet Explorer plug-in. This is required for the