Market Risk Analysis and Portfolio Management

Market Risk Analysis and Portfolio Management

www.risk-o.com mail@risk-o.com

CVaR Expert 2.0

CVX

System overview

Connectivity

Capture market and portfolio data from multiple sources simultaneously (Oracle, SQL Server, MS Excel, MS Access, Bloomberg™, PiP).

Productivity

Automatic validation of captured data quality. Implements more than 25 consistency checks to prices, structures, positions, cash flows, etc. Object-oriented user interface, multiple windows, presentation-quality tables and charts, all exportable with a single click.

Real-time response even with complex large portfolios.

Completely auditable results, step by step.

Dependability

Value-at-Risk, Conditional Value-at-Risk from full-valuation models with historical simulation and parametric

approaches. Backtesting and statistical tests.

Effectiveness

VaR Decomposition, Diversified VaR, Undiversified VaR, Marginal, Incremental, Contribución VaR. Stress Testing

models. Investment limits.

Performance attributionmodels. Hedging Effectiveness models.

Portfolio optimization models: Inverse tracking error and

Markowitz-Sharpe.

Flexible report generation in MS Excel® and access to analytics via web.

CVaR Expert 2.0

CVX

System components

Central analysis component

Bloomberg® data capture Flexible report generator Web portal

Presents portfolio position and risk reports through a web interface.

Generates flexible reports that can be easily customized in MS Excel.

Captures and validates data consistency from corporate databases, applies advanced portfolio analysis models and generates sophisticated VaR and CVaR measures and decompositions.

Massively imports data from the Bloomberg® platform.

 Conveniently import all market and portfolio information in one step

 Create Oracle, MS SQL Server, MS Excel, MS Access connections

 CVX Macros allow you to script even complex data-cleaning procedures

 The software works off-line: it only needs to connect to the database once daily

 Save all imported information from multiple sources into an encrypted.i3file

 Access all investment objects from one place, including tables and graphics

 Manage unlimited portfolios, assets, groups, investment limits and more

 All information is displayed in ready to use charts and reports

 Access all relevant portfolio data in one integrated window, from valuation to limit evaluation, to stress testing and VaR

 Risk indicators are calculated in real time for most institutional-size portfolios

 Include derivatives and general-purpose structured “Delta-Gamma Assets”

 All results leave a detailed intermediate calculations track and are fully auditable

 Decompose VaR by asset, group and risk factor

 Calculate diversified, undiversified, incremental, contribution and marginal indicators

 Statistically evaluate the predictive power of VaR results

 The system can employ either a historical NAV method or a current position method

 Results include the Kupiec LR statistics

 Quickly apply derivative valuation models and produce what-if simulation graphics

 Greeks can be computed using either analytic or full-valuation approaches

 Easily integrate all cash flows from the fixed-income portion of any portfolio

 Calculate durations, effective rates of return for the cash flow (IRR) up to a daily detail

 Produce credit-risk reports considering loss probabilities

 Apply a Markowitz-Sharpe optimization including user defined investment limits

 Find the lowest variance and highest Sharpe ratio portfolios in a matter of seconds

 Solve for the portfolio composition that minimizes historical tracking error

 Consider any number of portfolios and composition constraints simultaneously

 Compare the obtained returns to a benchmark portfolio, decompose the value-added

 Obtain results for each asset group, Security Selection and Asset Allocation effects

 Define total or partial hedging strategies involving an arbitrary number of assets

 Calculate the Variance Reduction Factor, hedging sensitivity, F-tests, etc.

System Modules

Risk Analysis

• VaR / CVar Calculation (full valuation simulation model)

• VaR Decomposition (diversified, undiversified, contribution, incremental, marginal, factor contribution).

• Stress testing

• Relative VaR vs. Benchmark portfolios

• VaR Back-testing (fixed positions, historical positions)

• Interactive what-ifrisk factor analysis

• Dynamic VaR variations decomposition

• VaR Limit calculation

• Risk factor Limits alerts

• Credit Risk estimation using Transition Matrices

• Assets/Liabilities Gap optimization

• Hedging Effectiveness Analysis

• Deemed Risk calculation for derivatives

Investments

• Automatic Tracking error Optimization

• Interactive Tracking error Optimization

• Cash flows tracking error Optimization

• Markowitz-Sharpe Optimization

• Asset Grouping

• Investment Limits

• Key-Rate Durations, Convexity and Dispersion Analysis

• Dynamic analysis of hedging effectiveness

• Relative Performance Attribution Model

• Absolute Performance Attribution Model

• Retrospective derivate valuation

• Graphical calculator for derivative instruments

• Fixed Income Analysis generator

• Credit risk notches mapping module

 Retrieve current and historical risk indicators directly from MS Excel

 Create richly formatted reports using your templates and automatically-filled data

 Easily generate risk reports from your intranet or mobile devices.

CVaR Expert 2.0

CVX

Minimum requirements

Operating system Microsoft Windows® 2000 or higher.

Processor speed 2 Ghz or more recommended.

System memory 2Gb or more.

Video 1024 x 768, 16-bit s color. Two monitors in parallel are

recommended.

Connectivity Internet connection available for license validation.

CVX

CVaR Expert 2.0

Contact information

Rho-Works is a registered trademark of RISKO SAC –www.risk-o.com