Fast, dynamic access to sophisticated and customizable risk analysis for your fund.
Using RiskAPI, an advanced remote programming interface, PortfolioScience has created a unique software component that allows users to access powerful, managed portfolio risk analysis functionality from within their existing spreadsheets:
Benefits:
Integrate sophisticated portfolio risk management into your existing environment. Access a full range of analysis tools - VaR, Correlation, Beta, plus other powerful calculation features - all within your existing framework. Looking for a powerful out-of-the box risk management solution? With one simple & affordable addition, achieve just that. Plus avoid integration expense and the need to learn complicated and costly third party software.
Features:
- Up to several thousand positions per analysis request.
- Multi-model Value at Risk, Volatility, Covariance Matrices, Correlation, Beta and more.
- Complete end-to-end solution: models, data, and computing power all in one service.
- Integrated on-sheet functions calls.
- Encrypted, secure client-server communication - ensures portfolio data is secure.
Analytics:
- Multi-model Value at Risk (VaR) - Volatility based, Delta-Normal, Historical Simulation, Decayed Historical Simulation, Monte Carlo and more.
- VaR decomposition - coherent, sub-additive component VaR, as well as Marginal VaR and Incremental VaR.
- Expected Tail Loss - conditional VaR analysis of tail events/tail loss.
- Advanced volatility analysis - EWMA volatility, as well as GARCH.
- Sophisticated Options Analytics - Sensitivities (all "greeks", as well as on-the-fly implied volatility calculations)
- Correlation & Covariance Matrix analysis
Asset Coverage:
- Global Equities (nearly every global equity exchange available)
- Global Equity Options (listed as well as OTC)
- Global Futures (includes financial futures & commodities)
- Global Futures Options
- LME Metals (spot, forwards & options)
- Global Currencies
- Global Currency Derivatives
- Global Fixed Income (corporates and sovereign debt)
The RiskAPI works within the Excel environment which means you can quickly set up a risk infrastructure for your fund: download positions from your prime broker, administrator, OMS, or accounting system into a spreadsheet and you are ready to start analyzing exposure - no back-office integration necessary!