Hedge Fund Portfolio Risk Analysis
RiskAPI: Bundled Data, Computing Power, & Analytics
The RiskAPI software as a service includes all the historical data, computing power and mathematics needed to generate sophisticated hedge fund portfolio and position-level risk analysis. Using any of several operating environments (such as Excel) users can easily set up a robust, systematic, and thorough risk management infrastructure for their hedge fund.
Available Hedge Fund Portfolio Risk Analysis Features Include:
- Multi-model Value at Risk (VaR) - Volatility based, Delta-Normal, Historical Simulation, Decayed Historical Simulation, Monte Carlo and more.
- Stress-testing with full revaluation along multiple scenario inputs: spot, volatility, interest rate, and market shocks.
- VaR decomposition - coherent, sub-additive component VaR, as well as Marginal VaR and Incremental VaR.
- Expected Tail Loss (ETL/Conditional VaR) - analysis of tail events/tail loss.
- Advanced volatility analysis - EWMA volatility, as well as GARCH.
- Sophisticated Options Analysis - Sensitivities (all "greeks", as well as on-the-fly implied volatility calculations).
- Correlation & Covariance Matrix analysis.
Hedge Fund Portfolio Risk Software
The RiskAPI system (Risk Application Programming Interface) is an on-demand, dynamic risk management software as a service that allows hedge funds to quickly and easily run risk analysis calculations on positions and portfolios. The system includes all data, computing power, and models bundled into a remote software API, making rapid generation of risk-reporting simple and affordable.
RiskAPI offers global coverage across multiple asset classes including equities, options, futures, currencies and fixed income. The service is accessible via multiple environments:
- Excel via the RiskAPI Add-In
- .Net Framework via RiskAPI Enterprise
- Java via RiskAPI Enterprise
Hedge Fund Risk Reporting
Together with our service provider partners, PortfolioScience offers all-in-one risk reporting packages that provide complete risk reporting solutions. Features include:
- Daily hedge fund portfolio risk reports
- Consolidated as well as detailed sub-portfolio reporting of risk and exposures
- Historical reporting of hedge fund risk and exposure over time