Financial Risk Management

RiskValue offers a broad range of advanced risk methodologies allowing measure, monitor, and manage risk exposures of private investment portfolios.

Main Features

Managed Accounts' risk profile generation

  • Calculation of private accounts risk profiles according to investment strategies and benchmarks
  • Absolute and relatve risk decomposition analysis per asset class, geographical sector, position, etc.
  • Intra & inter currency risk diversification analysis
  • Variance/Covariance, Monte Carlo and Historical simulation methods for VaR calculation
  • User defined risk calculation profiles: confidence interval, time horizon, risk method, pricing models, valuation methods, return method, observations window, thresholds. Capability of defining more than one profiles to compare risk results.
  • Counterparty and concentration exposure monitoring

Design Stress-Testing scenarios based on specific investment startegies

  • Create empirical scenarios based on significant that happened in the past or expert-based which are further subdivided in user defined and predictive scenarios
  • Design user defined scenarios with absolute or relative changes to specific instruments, risk factors and asset classes
  • Maintain historically all scenarios’ results for audit reports
  • Extract comprehensive reports for each scenario
  • Compare stress results of sub-scenarios based on multiple severity levels of each scenario and multiple time steps

What-if Scenario Analysis

  • Cloning and modification of original portfolio constituents or new investment strategy generation retroactively and determination of what risk/return profile the portfolio would have generated in the alternative scenario
  • Static copy of the original portfolio for a chosen period and comparison between the portfolio manager and a buy-and-hold strategy