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
By eMail mail@risk-o.com By telephone +1-800-573-7475 +1-800-573-RISK +(51) 1 221.7304Rho-Works is a registered trademark of RISKO SAC –www.risk-o.com