Risk & Portfolio Management
Risk & Portfolio Management (RPM) is an analytical tool that provides comprehensive information needed to assess portfolio risk parameters. RPM provides good practices, for example, calculating Value-at-Risk, analyzing the impact of model scenarios (stress tests) on portfolio composition, and generating portfolio reports of different types.
RPM functions can be successfully used in the field of collective investment funds management, private portfolio management, pension or insurance funds, as well as in banking.
By using the RPM application, you can
- Model the structure of the portfolio and implement what-if analysis
- Conduct portfolio stress tests and track projected portfolio development in various critical market situations
- Calculate portfolio risk indicators, including the application of one or more market development scenarios
- Analyze a portfolio with respect to another portfolio or benchmark
- Identify the weaknesses and strengths of the portfolio in the light of anticipated market developments
- Generate user-defined reports as well as export data for further processing
RPM is an application with an intuitive user interface that is able to collect data on the current status of the monitored portfolios and data on individual market indicators and by applying verified algorithms to provide real-time outputs to users according to their requirements.
The RPM system can be integrated with virtually any asset management information system as well as systems of market data vendors to ensure easy usability of the system in practice.
Solution Properties
- Comprehensive information and functions necessary to analyze portfolio risks
- Simple, user-friendly, intuitive control
- Clear, understandable and configurable outputs in different formats
- Open interfaces for integrations with the asset management system and market data provider
- Fast algorithms optimized for real-time response
- A secure application with the ability to define user roles and access rights
Basic analytical functions
- Portfolio valuation based on current market data or theoretical price
- Calculation of characteristic indicators of debt instruments (YTM, Duration, Convexity)
- Creation of model portfolios
- What-If analysis – portfolio revaluation based on specified changes in market parameters
- Definition of custom model scenarios
- Historical VaR analysis – calculation of parameters for individual components of portfolio
- Var
- Marginal VaR
- Definition of VaR analysis parameters – trust level, period length, simulation type (FX, IR, FX+IR, etc.)
Basic reports
- Show the interest curve
- Risk structure of the portfolio
- Portfolio breakdown by type of investment instruments
- Currency structure of the portfolio
- Overview of the characteristic indicators of portfolio debt instruments
- What-If portfolio analysis, grouping by
- Type of investment instruments
- Risk classes
- Currency
- VaR portfolio analysis
- Configurable reports according to the user’s wishes
- Export to XLS and PDF formats
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