REPORTING PACKAGE FOR SS&C ADVENT SOFTWARE CLIENTS

Size: px
Start display at page:

Download "REPORTING PACKAGE FOR SS&C ADVENT SOFTWARE CLIENTS"

Transcription

1 REPORTING PACKAGE FOR SS&C ADVENT SOFTWARE CLIENTS

2 Contents Contents... 1 I. SS&C Advent Integration Paragon Menu APX Paragon Menu Risk Calculation Thresholds Risk Metrics in APX dashboards... 8 II. Parametric Methodology... 9 A. System Screens Portfolio Parametric Value at Risk Portfolio Parametric Value at Risk Sample Bar Chart Portfolio Positions Portfolio Positions Sample Bar Chart Portfolio Group Positions Portfolio Group Parametric Value At Risk Portfolio Group Positions B. Reports Portfolio Group Value at Risk with Threshold Portfolio Group Value at Risk percentage of its Market Value Portfolio Group Value at Risk percentage of its Market Value detail III. Monte Carlo Simulation A. System Screens Portfolio Group Monte Carlo Simulation Value at Risk Portfolio Group Monte Carlo Simulation Value at Risk Bar Chart Portfolio Monte Carlo Simulation Value at Risk P a g e 1

3 4. Monte Carlo Simulation Sample SSRS Bar Chart Monte Carlo Simulation Histogram Portfolio Risk decomposition Portfolio Risk Decomposition Charting Portfolio Decomposition Drill In Risk Decomposition sample Pie Chart Portfolio Group Histogram Report B. Reports Portfolio Group Value at Risk percentage of its Market Value Portfolio Group Value at Risk percentage of its Market Value detail Portfolio Risk Decomposition by holdings Portfolio Risk Decomposition grouping Issuer Report Aggregated Delta Report Histogram of Returns Portfolio Marginal Value at Risk Portfolio Bar Chart What if Portfolio Decomposition Analysis What if Portfolio Decomposition Analysis Bar Chart IV. Historical Simulation A. System Screens Portfolio Histogram Portfolio Historical Simulation Value at Risk Portfolio Market Value Bar Chart Portfolio Group Historical Simulation Value at Risk Portfolio Group Histogram Report P a g e 2

4 A. Reports Portfolio Group Value at Risk percentage of its Market Value Portfolio Group Value at Risk percentage of its Market Value detail Histogram of Returns Draw-down Report Moments & Extra Portfolio Metrics CDaR Historical Simulation CDaR Historical Simulation variation with Greeks V. Other Reports Stress Testing Report Stress Testing Yield Curve Effect Stress Testing Per Asset Effect Stress Testing Original vs Stressed Market Value Back Testing Report Back testing screen Back Testing Chart Portfolio group threshold alert Portfolio group threshold alert with variable boundary Portfolio Group vs Threshold Coupon projection per currency and overview Top 10 volatilities in portfolio holdings Portfolio holdings component VaR vs Weights spider chart Portfolio vs Benchmark weights Price Variations Lookup VI. Additional Reports UCITS contribution P a g e 3

5 2. Basel Report MiFid Model Tracker Report About KlarityRisk P a g e 4

6 I. SS&C Advent Integration 1. Paragon Menu Figure 1 : Paragon menu with APX combined reports P a g e 5

7 2. APX Paragon Menu Figure 2 : Paragon combined reports in APX reports Menu P a g e 6

8 3. Risk Calculation Thresholds Figure 3 : Monitoring Risk calculation thresholds in APX dashboards P a g e 7

9 4. Risk Metrics in APX dashboards Figure 4 : Portfolio group Value at Risk Monitoring in APX dashboards P a g e 8

10 II. Parametric Methodology A. System Screens 1. Portfolio Parametric Value at Risk P a g e 9

11 2. Portfolio Parametric Value at Risk Sample Bar Chart P a g e 10

12 3. Portfolio Positions Figure 5 : Paragon calculates the positions by repricing the non-linear instruments. P a g e 11

13 4. Portfolio Positions Sample Bar Chart Figure 6 : Paragon reporting is based on SSRS that it is easy to customize t it according to your preference. P a g e 12

14 5. Portfolio Group Positions Figure 7 : Most reports can be run also for groups and consolidated portfolios or funds. P a g e 13

15 6. Portfolio Group Parametric Value At Risk P a g e 14

16 7. Portfolio Group Positions P a g e 15

17 B.Reports 1. Portfolio Group Value at Risk with Threshold Figure 8 : This report/dashboards shows the portfolio outcome VaR for a group of portfolios together with their respective thresholds. Available for all methodologies in the system. P a g e 16

18 2. Portfolio Group Value at Risk percentage of its Market Value Figure 9 : Available for all the supported methodologies. 3. Portfolio Group Value at Risk percentage of its Market Value detail P a g e 17

19 III. Monte Carlo Simulation A. System Screens 1. Portfolio Group Monte Carlo Simulation Value at Risk P a g e 18

20 2. Portfolio Group Monte Carlo Simulation Value at Risk Bar Chart Figure 10 :Group Positions Bar Chart, also available for Group Positions, VaR/Market Value, Expected Shortfall /Market Value, Relative VaR/Market Value. P a g e 19

21 3. Portfolio Monte Carlo Simulation Value at Risk Figure 11 : Grouping Available in all classifications such as Asset Class, Risk Country, Sector, Group, Type etc. P a g e 20

22 4. Monte Carlo Simulation Sample SSRS Bar Chart Figure 12 : Top 10 Positions Bar Chart P a g e 21

23 5. Monte Carlo Simulation Histogram Figure 13 : Portfolio return distribution, also available in percentage. P a g e 22

24 6. Portfolio Risk decomposition Figure 14 : Portfolio Decomposition by holdings system screen P a g e 23

25 7. Portfolio Risk Decomposition Charting Figure 15 : Portfolio Top 10 Component Value at Risk Bar Chart. Also available Marginal VaR Bar Chart, Component VaR Pie Chart and Positions Bar Chart. P a g e 24

26 8. Portfolio Decomposition Drill In Figure 16 : Grouping Risk by all available classifications in the system is done on done on the fly. Available standard classifications such as Asset Class, Group, Sector, Type but also calculated ones. P a g e 25

27 9. Risk Decomposition sample Pie Chart Figure 17 : Portfolio Component Value at Risk Pie Chart P a g e 26

28 10. Portfolio Group Histogram Report Figure 18 : Shows the return distribution of multiple portfolios in a group. Portfolio Histogram P a g e 27

29 B.Reports 1. Portfolio Group Value at Risk percentage of its Market Value 2. Portfolio Group Value at Risk percentage of its Market Value detail P a g e 28

30 3. Portfolio Risk Decomposition by holdings P a g e 29

31 P a g e 30 Figure 19 : Portfolio Risk decomposition analytics report with configurable bar chart.

32 4. Portfolio Risk Decomposition grouping Figure 20 : Available groupings are Swap Matching, Asset Class, Region, Risk Factor, Moody`s Rating, S&P Rating, Fitch Rating, Risk Country, Security Type, Industry Sector, Capitalization, Industry Group, Issuer. P a g e 31

33 5. Issuer Report Figure 21 : This report is available for all methodologies in the system. P a g e 32

34 6. Aggregated Delta Report Figure 22 : Report available for Monte Carlo, Historical and Stress Testing. The report groups portfolios Delta values using different various instrument classifications. P a g e 33

35 7. Histogram of Returns Figure 23 : The histogram of returns represents the frequency each return value has be appeared within the selected timeframe. The report can be run for both Monte Carlo and Historical as a percentage or absolute value. P a g e 34

36 8. Portfolio Marginal Value at Risk Figure 24 : Two different views of the portfolio Marginal Value at Risk calculations. P a g e 35

37 9. Portfolio Bar Chart Figure 25 : Top 10 positions (top) and top 10 Component Value at Risk (bottom) P a g e 36

38 10. What if Portfolio Decomposition Analysis Figure 26 : The report compares any selected portfolio values with another portfolio or its corresponding what if portfolio. The holdings can be grouped for all the available system classifications, and the report can be run in Monte Carlo only. P a g e 37

39 11. What if Portfolio Decomposition Analysis Bar Chart Figure 27 : Twin Bar Charts showing Component VaR and Marginal of each portfolio with their respective what if. P a g e 38

40 IV. Historical Simulation A. System Screens 1. Portfolio Histogram Figure 28 : Shows the true portfolio distribution of returns, also available in percentage. P a g e 39

41 2. Portfolio Historical Simulation Value at Risk Figure 29 : Grouping available in all classifications such as Asset Class, Group and Sector P a g e 40

42 3. Portfolio Market Value Bar Chart Figure 30 : Portfolio Top 10 Positions in terms of Market Value P a g e 41

43 4. Portfolio Group Historical Simulation Value at Risk Figure 31 : Available columns are beta, Vega and portfolio Duration. P a g e 42

44 5. Portfolio Group Histogram Report Figure 32 : Available columns are Rho, Theta, Duration, Vega, FX delta, Equity Delta. P a g e 43

45 A. Reports 1. Portfolio Group Value at Risk percentage of its Market Value 2. Portfolio Group Value at Risk percentage of its Market Value detail P a g e 44

46 3. Histogram of Returns Figure 33 : The histogram of returns represents the frequency each return value has be appeared within the selected timeframe. The report can be run for both Monte Carlo and Historical as a percentage or absolute value. P a g e 45

47 4. Draw-down Report Figure 34 : This shows the portfolio returns over time, the largest drop in the period with red and the amount of days it took to recover in red. P a g e 46

48 5. Moments & Extra Portfolio Metrics Figure 35 : This report runs for Historical Simulation and, and can also be run as a system dashboard. P a g e 47

49 6. CDaR Historical Simulation Figure 36 : Historical Simulation report data with CDaR, Instrument classifications, and Market Market Value Bar Chart. P a g e 48

50 7. CDaR Historical Simulation variation with Greeks Figure 37 : Historical Simulation report data with CDaR, Greeks, and Weights Pie Chart. P a g e 49

51 V. Other Reports 1. Stress Testing Report P a g e 50 Figure 38 : This report is available for both predictive and simple Stress Testing results.

52 2. Stress Testing Yield Curve Effect Figure 39 : Paragon has the ability to represent the stressed yield term structure vs the actual one for each currency included in the portfolio. P a g e 51

53 3. Stress Testing Per Asset Effect Figure 40 : Paragon represents the stressed Market Value in a bar Chart. P a g e 52

54 4. Stress Testing Original vs Stressed Market Value Figure 41 : Paragon`s Stressed vs Actual Market Value of holdings in a Bar Chart. P a g e 53

55 5. Back Testing Report P a g e 54 Figure 42 : Displays the Back Testing chart (realized return versus calculated VaR) together with any matched exceptions.

56 6. Back testing screen Figure 43 : Paragon also includes thorough Back testing functionality with exceptions reporting. P a g e 55

57 7. Back Testing Chart Figure 44 : All Back Testing reports can be customized according to your preference. P a g e 56

58 8. Portfolio group threshold alert Figure 45 : Allows to visually see which portfolios are breaching or are close to breaching. P a g e 57

59 9. Portfolio group threshold alert with variable boundary Figure 46 : This report shows the calculated metrics of each portfolio in a group along with their set thresholds. A boundary field is also available that allows the user to customize the sensitivity of the warning level. P a g e 58

60 10. Portfolio Group vs Threshold Figure 47 : The portfolios/portfolio groups together with their respective thresholds can be presented in various ways. P a g e 59

61 11. Coupon projection per currency and overview Figure 48 : Portfolios coupon projection represented in a nicely way. Reports can be run for a set or for a specified year. P a g e 60

62 12. Top 10 volatilities in portfolio holdings P a g e 61 Figure 49 : Paragon calculates and represents volatilities in multiple ways.

63 13. Portfolio holdings component VaR vs Weights spider chart P a g e 62 Figure 50 : Holdings Component Value at Risk versus Weights in a nice SSRS Spider Chart

64 14. Portfolio vs Benchmark weights P a g e 63 Figure 51 : Benchmark Weights vs Portfolio Weight per holding.

65 15. Price Variations Lookup Figure 52 : Allows the user to monitor Instruments, Indices and FX rates for missing values. P a g e 64

66 VI. Additional Reports 1. UCITS contribution P a g e 65

67 2. Basel Report Figure 53 : A sample Basel report statement. P a g e 66

68 3. MiFid Model Tracker Report P a g e 67 Figure 54 : A report that allows the user to track the risk and expected return of a set of Models.

69 About KlarityRisk KlarityRisk ( is an award-winning Risk Analytics, Risk Management and Regulatory Risk Reporting software and services provider, focused on the buy-side sector of the investment management industry. KlarityRisk products allow wealth and portfolio managers keep portfolio risk workflows on track with a comprehensive set of tools, methodologies and measurements, aiming to control risk exposures via timely and continuous monitoring and reporting of investment s risk. KlarityRisk allows wealth managers to operate in a true STP environment, acquiring all data via your back office system, maximizing the use of their technology investment for client service excellence. More details at sales@klarityrisk.com 40 Gracechurch St. London EC3V 0BT United Kingdom Telephone: +44 (0) info@klarityrisk.com Website: Copyright 2016 KlarityRisk. All rights reserved. Information subject to change without notice. Paragon, the Paragon logo, are registered trademarks of KlarityRisk S.A. All other products or services herein are trademarks of their respective owners. P a g e 68

Razor Risk Market Risk Overview

Razor Risk Market Risk Overview Razor Risk Market Risk Overview Version 1.0 (Final) Prepared by: Razor Risk Updated: 20 April 2012 Razor Risk 7 th Floor, Becket House 36 Old Jewry London EC2R 8DD Telephone: +44 20 3194 2564 e-mail: peter.walsh@razor-risk.com

More information

Oracle Financial Services Market Risk User Guide

Oracle Financial Services Market Risk User Guide Oracle Financial Services User Guide Release 8.0.1.0.0 August 2016 Contents 1. INTRODUCTION... 1 1.1 PURPOSE... 1 1.2 SCOPE... 1 2. INSTALLING THE SOLUTION... 3 2.1 MODEL UPLOAD... 3 2.2 LOADING THE DATA...

More information

Risk e-learning. Modules Overview.

Risk e-learning. Modules Overview. Risk e-learning Modules Overview Risk Sensitivities Market Risk Foundation (Banks) Understand delta risk sensitivity as an introduction to a broader set of risk sensitivities Explore the principles of

More information

Market Risk Analysis Volume IV. Value-at-Risk Models

Market Risk Analysis Volume IV. Value-at-Risk Models Market Risk Analysis Volume IV Value-at-Risk Models Carol Alexander John Wiley & Sons, Ltd List of Figures List of Tables List of Examples Foreword Preface to Volume IV xiii xvi xxi xxv xxix IV.l Value

More information

StatPro Revolution - Analysis Overview

StatPro Revolution - Analysis Overview StatPro Revolution - Analysis Overview DEFINING FEATURES StatPro Revolution is the Sophisticated analysis culmination of the breadth and An intuitive and visual user interface depth of StatPro s expertise

More information

Risk Measures Overview

Risk Measures Overview Risk Measures Overview A Cross-Form Comparison Guide Version 2 Advise Technologies www.advisetechnologies.com support@advisetechnologies.com Risk Measures Overview A Cross-Form Comparison Guide Published

More information

Calculating VaR. There are several approaches for calculating the Value at Risk figure. The most popular are the

Calculating VaR. There are several approaches for calculating the Value at Risk figure. The most popular are the VaR Pro and Contra Pro: Easy to calculate and to understand. It is a common language of communication within the organizations as well as outside (e.g. regulators, auditors, shareholders). It is not really

More information

Asset Management Reports

Asset Management Reports Asset Management Reports Table of Contents Cover Page........................................... 1 Portfolio Overview...................................... 2 Performance Overview..................................

More information

Oracle Financial Services Market Risk User Guide

Oracle Financial Services Market Risk User Guide Oracle Financial Services User Guide Release 8.0.4.0.0 March 2017 Contents 1. INTRODUCTION... 1 PURPOSE... 1 SCOPE... 1 2. INSTALLING THE SOLUTION... 3 2.1 MODEL UPLOAD... 3 2.2 LOADING THE DATA... 3 3.

More information

RISKMETRICS. Dr Philip Symes

RISKMETRICS. Dr Philip Symes 1 RISKMETRICS Dr Philip Symes 1. Introduction 2 RiskMetrics is JP Morgan's risk management methodology. It was released in 1994 This was to standardise risk analysis in the industry. Scenarios are generated

More information

Risk Management anil Financial Institullons^

Risk Management anil Financial Institullons^ Risk Management anil Financial Institullons^ Third Edition JOHN C. HULL WILEY John Wiley & Sons, Inc. Contents Preface ' xix CHAPTBM Introduction! 1 1.1 Risk vs. Return for Investors, 2 1.2 The Efficient

More information

e-amis Wealth Management System

e-amis Wealth Management System e-amis Wealth Management System e-amis, the intuitive wealth management system that covers the entire investment process. Profidata Group e-amis WEALTH MANAGEMENT SYSTEM www.profidatagroup.com e-amis is

More information

Oracle Financial Services Market Risk User Guide

Oracle Financial Services Market Risk User Guide Oracle Financial Services Market Risk User Guide Release 2.5.1 August 2015 Contents 1. INTRODUCTION... 1 1.1. PURPOSE... 1 1.2. SCOPE... 1 2. INSTALLING THE SOLUTION... 3 2.1. MODEL UPLOAD... 3 2.2. LOADING

More information

Key Features Asset allocation, cash flow analysis, object-oriented portfolio optimization, and risk analysis

Key Features Asset allocation, cash flow analysis, object-oriented portfolio optimization, and risk analysis Financial Toolbox Analyze financial data and develop financial algorithms Financial Toolbox provides functions for mathematical modeling and statistical analysis of financial data. You can optimize portfolios

More information

SEC 22e-4 Solution for Liquidity

SEC 22e-4 Solution for Liquidity SEC 22e-4 Solution for Liquidity 22E-4 LIQUIDITY RISK MANAGEMENT PROGRAM OBJECTIVES Promote effective liquidity risk management for mutual funds and ETFs Enhance disclosure of fund liquidity and redemption

More information

Market Risk: FROM VALUE AT RISK TO STRESS TESTING. Agenda. Agenda (Cont.) Traditional Measures of Market Risk

Market Risk: FROM VALUE AT RISK TO STRESS TESTING. Agenda. Agenda (Cont.) Traditional Measures of Market Risk Market Risk: FROM VALUE AT RISK TO STRESS TESTING Agenda The Notional Amount Approach Price Sensitivity Measure for Derivatives Weakness of the Greek Measure Define Value at Risk 1 Day to VaR to 10 Day

More information

THE FLORIDA INTERNATIONAL UNIVERSITY BOARD OF TRUSTEES Finance and Facilities Committee April 12, 2018

THE FLORIDA INTERNATIONAL UNIVERSITY BOARD OF TRUSTEES Finance and Facilities Committee April 12, 2018 THE FLORIDA INTERNATIONAL UNIVERSITY BOARD OF TRUSTEES Finance and Facilities Committee April 12, 2018 Report (For Information Only no action required) TREASURY REPORT (For quarter ending December 31,

More information

TRΛNSPΛRΣNCY ΛNΛLYTICS

TRΛNSPΛRΣNCY ΛNΛLYTICS TRΛNSPΛRΣNCY ΛNΛLYTICS RISK-AI, LLC PRESENTATION INTRODUCTION I. Transparency Analytics is a state-of-the-art risk management analysis and research platform for Investment Advisors, Funds of Funds, Family

More information

Article from: Risks & Rewards. August 2014 Issue 64

Article from: Risks & Rewards. August 2014 Issue 64 Article from: Risks & Rewards August 2014 Issue 64 MEASURING THE COST OF DURATION MISMATCH USING LEAST SQUARES MONTE CARLO (LSMC) By Casey Malone and David Wang Duration matching is perhaps the best-known

More information

Value at Risk Risk Management in Practice. Nikolett Gyori (Morgan Stanley, Internal Audit) September 26, 2017

Value at Risk Risk Management in Practice. Nikolett Gyori (Morgan Stanley, Internal Audit) September 26, 2017 Value at Risk Risk Management in Practice Nikolett Gyori (Morgan Stanley, Internal Audit) September 26, 2017 Overview Value at Risk: the Wake of the Beast Stop-loss Limits Value at Risk: What is VaR? Value

More information

HANDBOOK OF. Market Risk CHRISTIAN SZYLAR WILEY

HANDBOOK OF. Market Risk CHRISTIAN SZYLAR WILEY HANDBOOK OF Market Risk CHRISTIAN SZYLAR WILEY Contents FOREWORD ACKNOWLEDGMENTS ABOUT THE AUTHOR INTRODUCTION XV XVII XIX XXI 1 INTRODUCTION TO FINANCIAL MARKETS t 1.1 The Money Market 4 1.2 The Capital

More information

Full Monte. Looking at your project through rose-colored glasses? Let s get real.

Full Monte. Looking at your project through rose-colored glasses? Let s get real. Realistic plans for project success. Looking at your project through rose-colored glasses? Let s get real. Full Monte Cost and schedule risk analysis add-in for Microsoft Project that graphically displays

More information

GlobalView Software, Inc.

GlobalView Software, Inc. GlobalView Software, Inc. MarketView Option Analytics 10/16/2007 Table of Contents 1. Introduction...1 2. Configuration Settings...2 2.1 Component Selection... 2 2.2 Edit Configuration Analytics Tab...

More information

Wealth Management Reports

Wealth Management Reports Wealth Management Reports Table of Contents Cover Page............................................................... 1 Portfolio Overview....................................................... 2 Policy

More information

AXYS. Raising the Standard in Portfolio Management. Axys Report Samples

AXYS. Raising the Standard in Portfolio Management. Axys Report Samples AXYS Raising the Standard in Portfolio Management Axys Report Samples Axys Offers a Breadth of Reporting Possibilities There is a wide variety of financial information bombarding investors every day. In

More information

Recent developments in. Portfolio Modelling

Recent developments in. Portfolio Modelling Recent developments in Portfolio Modelling Presentation RiskLab Madrid Agenda What is Portfolio Risk Tracker? Original Features Transparency Data Technical Specification 2 What is Portfolio Risk Tracker?

More information

Risk Modeling: Lecture outline and projects. (updated Mar5-2012)

Risk Modeling: Lecture outline and projects. (updated Mar5-2012) Risk Modeling: Lecture outline and projects (updated Mar5-2012) Lecture 1 outline Intro to risk measures economic and regulatory capital what risk measurement is done and how is it used concept and role

More information

BondEdge Next Generation

BondEdge Next Generation BondEdge Next Generation Interactive Data s BondEdge Next Generation provides today s fixed income institutional investment professional with the perspective to manage institutional fixed income portfolio

More information

IEOR E4602: Quantitative Risk Management

IEOR E4602: Quantitative Risk Management IEOR E4602: Quantitative Risk Management Basic Concepts and Techniques of Risk Management Martin Haugh Department of Industrial Engineering and Operations Research Columbia University Email: martin.b.haugh@gmail.com

More information

Fund Accounting Interactive Quick Reference Guide

Fund Accounting Interactive Quick Reference Guide Fund Accounting Interactive Quick Reference Guide april 2018 Contents Fund Accounting Interactive Quick Reference Guide 1 Accessing Fund Accounting Interactive 1 Overview Page 2 Funds Page 3 Share Classes

More information

Quick Topic - Project Management Reference Guide

Quick Topic - Project Management Reference Guide Quick Topic - Project Management Reference Guide Title: Project Management Reference Guide Brief description: The purpose of this document is to act as a reference for the most common project management

More information

Credit Risk in Derivatives Products

Credit Risk in Derivatives Products Credit Risk in Derivatives Products Understand how derivatives work, how they are used and the inherent credit risk experienced by both banks and their customers This in-house course can be presented in-house

More information

Alerts and KPI monitoring DATA SHEET

Alerts and KPI monitoring DATA SHEET Alerts and KPI monitoring DATA SHEET End-to-End KPI management for effective management by exception ActiveMonitor is a business performance monitoring solution that enables the management of situations

More information

Financial. Analysis, and. ModeHIng. Long-Term Forecasting

Financial. Analysis, and. ModeHIng. Long-Term Forecasting _ Financial Forecasting. Analysis, and ModeHIng A Framework for Long-Term Forecasting MICHAEL SAMONAS WlLEY TaWe of Contents Preface Acknowledgments About the Auttior xi xiii xv MRT ONE :, 4 Developing

More information

Vanguard Global Capital Markets Model

Vanguard Global Capital Markets Model Vanguard Global Capital Markets Model Research brief March 1 Vanguard s Global Capital Markets Model TM (VCMM) is a proprietary financial simulation engine designed to help our clients make effective asset

More information

PhaseTrader Indicators

PhaseTrader Indicators PhaseTrader Indicators PhaseTrader Tools for TradeStation Radar PhaseTrader is a Trademark of Derivative Concepts, LLC. Copyright 2018 Derivative Concepts Homepage: https://phasetraderindicator.com Registration:

More information

Contents. 1. Introduction Workbook Access Copyright and Disclaimer Password Access and Worksheet Protection...

Contents. 1. Introduction Workbook Access Copyright and Disclaimer Password Access and Worksheet Protection... Contents 1. Introduction... 3 2. Workbook Access... 3 3. Copyright and Disclaimer... 3 4. Password Access and Worksheet Protection... 4 5. Macros... 4 6. Colour Coding... 4 7. Recalculation... 4 8. Explanation

More information

FVC Structured Product Research Report

FVC Structured Product Research Report FVC Structured Product Research Report This version of this FVC Structured Product Research Report is made available to you, under our usual terms and conditions. For free full access to the FVC research

More information

Risk Management and Financial Institutions

Risk Management and Financial Institutions Risk Management and Financial Institutions Founded in 1807, John Wiley & Sons is the oldest independent publishing company in the United States. With offices in North America, Europe, Australia and Asia,

More information

Master s in Financial Engineering Foundations of Buy-Side Finance: Quantitative Risk and Portfolio Management. > Teaching > Courses

Master s in Financial Engineering Foundations of Buy-Side Finance: Quantitative Risk and Portfolio Management.  > Teaching > Courses Master s in Financial Engineering Foundations of Buy-Side Finance: Quantitative Risk and Portfolio Management www.symmys.com > Teaching > Courses Spring 2008, Monday 7:10 pm 9:30 pm, Room 303 Attilio Meucci

More information

NtInsight for ALM. Feature List

NtInsight for ALM. Feature List NtInsight for ALM Feature List Purpose of NtInsight for ALM The software of choice for advanced asset-liability management. Risk reports for ALM Financial report for each business unit Balance sheet Income

More information

intalus.com TR DING Issue The todays tallest building in the UK on the scale of 310 metres high. SKYSCRAPER. The Shard, London.

intalus.com TR DING Issue The todays tallest building in the UK on the scale of 310 metres high. SKYSCRAPER. The Shard, London. TIPS. HOW TO. SKYSCRAPER. The Shard, London. The todays tallest building in the UK on the scale of 310 metres high. 12 CONTROL AND MONITOR YOUR ASSETS BY RULE-BASED APPROACHES. How to create a portfolio

More information

ORE Applied: Dynamic Initial Margin and MVA

ORE Applied: Dynamic Initial Margin and MVA ORE Applied: Dynamic Initial Margin and MVA Roland Lichters QuantLib User Meeting at IKB, Düsseldorf 8 December 2016 Agenda Open Source Risk Engine Dynamic Initial Margin and Margin Value Adjustment Conclusion

More information

SELL-SIDE SURVEY FINCAD Sell-Side Survey

SELL-SIDE SURVEY FINCAD Sell-Side Survey SELL-SIDE SURVEY 2012 FINCAD Sell-Side Survey 2012 1 Intra-day Risk Transparent, Documented Models Easy to Use and Implement Regulatory Compliance Monte Carlo VaR Risk Assessment Regulations Foriegn Exchange

More information

The value of a bond changes in the opposite direction to the change in interest rates. 1 For a long bond position, the position s value will decline

The value of a bond changes in the opposite direction to the change in interest rates. 1 For a long bond position, the position s value will decline 1-Introduction Page 1 Friday, July 11, 2003 10:58 AM CHAPTER 1 Introduction T he goal of this book is to describe how to measure and control the interest rate and credit risk of a bond portfolio or trading

More information

Learning takes you the extra mile. Rabobank Global Learning

Learning takes you the extra mile. Rabobank Global Learning Learning takes you the extra mile Rabobank Global Learning Release 38: 2016 FINANCIAL MARKETS COURSES Introduction to Financial Markets Financial Markets - An Introduction Money Markets - An Introduction

More information

NINTH EDITION FUNDAMENTALS OF. John C. Hüll

NINTH EDITION FUNDAMENTALS OF. John C. Hüll NINTH EDITION FUNDAMENTALS OF FUTURES AND OPTIONS MARKETS John C. Hüll Maple Financial Group Professor of Derivatives and Risk Management Joseph L. Rotman School of Management University of Toronto PEARSON

More information

Investment Management. ESMA issues final guidelines on AIFMD reporting Time to prepare

Investment Management. ESMA issues final guidelines on AIFMD reporting Time to prepare Investment Management ESMA issues final guidelines on AIFMD reporting Time to prepare Contents 3 Introduction 4 Reporting cycles 6 ESMA opinion and key considerations 9 Next steps 10 Contacts Title of

More information

FVC Structured Product Research Report

FVC Structured Product Research Report FVC Structured Product Research Report This version of this FVC Structured Product Research Report is made available to you, under our usual terms and conditions. For free full access to the FVC Structured

More information

Fundamentals of Futures and Options Markets

Fundamentals of Futures and Options Markets GLOBAL EDITION Fundamentals of Futures and Markets EIGHTH EDITION John C. Hull Editor in Chief: Donna Battista Acquisitions Editor: Katie Rowland Editorial Project Manager: Emily Biberger Editorial Assistant:

More information

Exotic Derivatives & Structured Products. Zénó Farkas (MSCI)

Exotic Derivatives & Structured Products. Zénó Farkas (MSCI) Exotic Derivatives & Structured Products Zénó Farkas (MSCI) Part 1: Exotic Derivatives Over the counter products Generally more profitable (and more risky) than vanilla derivatives Why do they exist? Possible

More information

Backtesting Expected Shortfall: A Breakthrough in Risk Management

Backtesting Expected Shortfall: A Breakthrough in Risk Management Backtesting Expected Shortfall: A Breakthrough in Risk Management Peter Zangari, PhD, Managing Director, MSCI Portfolio Management Analytics Your logo here Background In 2012, the Basel Committee proposed

More information

Financial Reporting. Workday Bentley

Financial Reporting. Workday Bentley Financial Reporting Workday Finance @ Bentley Agenda Financial Reporting Dashboard Navigation Set-Up Instructions How to Use Dashboard Reports Description of Dashboard Reports Using Dashboard Reports View

More information

Applications of Dataflow Computing to Finance. Florian Widmann

Applications of Dataflow Computing to Finance. Florian Widmann Applications of Dataflow Computing to Finance Florian Widmann Overview 1. Requirement Shifts in the Financial World 2. Case 1: Real Time Margin 3. Case 2: FX Option Monitor 4. Conclusions Market Context

More information

palgrave Shipping Derivatives and Risk Management macmiuan Amir H. Alizadeh & Nikos K. Nomikos

palgrave Shipping Derivatives and Risk Management macmiuan Amir H. Alizadeh & Nikos K. Nomikos Shipping Derivatives and Risk Management Amir H. Alizadeh & Nikos K. Nomikos Faculty of Finance, Cass Business School, City University, London palgrave macmiuan Contents About the Authors. xv Preface and

More information

Risk & Capital Management Under Basel III and IFRS 9 This course is presented in London on: May 2018

Risk & Capital Management Under Basel III and IFRS 9 This course is presented in London on: May 2018 Risk & Capital Management Under Basel III and IFRS 9 This course is presented in London on: 14-17 May 2018 The Banking and Corporate Finance Training Specialist Course Objectives Participants Will: Understand

More information

Introduction to Bonds The Bond Instrument p. 3 The Time Value of Money p. 4 Basic Features and Definitions p. 5 Present Value and Discounting p.

Introduction to Bonds The Bond Instrument p. 3 The Time Value of Money p. 4 Basic Features and Definitions p. 5 Present Value and Discounting p. Foreword p. xv Preface p. xvii Introduction to Bonds The Bond Instrument p. 3 The Time Value of Money p. 4 Basic Features and Definitions p. 5 Present Value and Discounting p. 6 Discount Factors p. 12

More information

Credit Risk in Derivatives Products

Credit Risk in Derivatives Products Credit Risk in Derivatives Products Understand how derivatives work, how they are used and the inherent credit risk experienced by both banks and their customers This in-house course can be presented in-house

More information

bitarisk. BITA Vision a product from corfinancial. london boston new york BETTER INTELLIGENCE THROUGH ANALYSIS better intelligence through analysis

bitarisk. BITA Vision a product from corfinancial. london boston new york BETTER INTELLIGENCE THROUGH ANALYSIS better intelligence through analysis bitarisk. BETTER INTELLIGENCE THROUGH ANALYSIS better intelligence through analysis BITA Vision a product from corfinancial. london boston new york Expertise and experience deliver efficiency and value

More information

Monte Carlo Simulation (General Simulation Models)

Monte Carlo Simulation (General Simulation Models) Monte Carlo Simulation (General Simulation Models) Revised: 10/11/2017 Summary... 1 Example #1... 1 Example #2... 10 Summary Monte Carlo simulation is used to estimate the distribution of variables when

More information

WIN NEW CLIENTS & INCREASE WALLET-SHARE with HiddenLevers Engaging prospects + clients with portfolio stress testing

WIN NEW CLIENTS & INCREASE WALLET-SHARE with HiddenLevers Engaging prospects + clients with portfolio stress testing WIN NEW CLIENTS & INCREASE WALLET-SHARE with HiddenLevers Engaging prospects + clients with portfolio stress testing TABLE OF CONTENTS INTRO: How it works 3 ONE: Introduce and position risk at the first

More information

Introduction to Algorithmic Trading Strategies Lecture 8

Introduction to Algorithmic Trading Strategies Lecture 8 Introduction to Algorithmic Trading Strategies Lecture 8 Risk Management Haksun Li haksun.li@numericalmethod.com www.numericalmethod.com Outline Value at Risk (VaR) Extreme Value Theory (EVT) References

More information

How to Calculate. Opflons Prlces i. and Their Greeks: : Exploring the I. Black Scholas! Delta tovega l PIERINO URSONE

How to Calculate. Opflons Prlces i. and Their Greeks: : Exploring the I. Black Scholas! Delta tovega l PIERINO URSONE How to Calculate Opflons Prlces i and Their Greeks: : Exploring the I Black Scholas! Modelfrom 1 Delta tovega l PIERINO URSONE WlLEY TciblG of contents Pneface ix CHAPTER1 INTRODUCTION 1 CHAPTER 2 THE

More information

From Financial Risk Management. Full book available for purchase here.

From Financial Risk Management. Full book available for purchase here. From Financial Risk Management. Full book available for purchase here. Contents Preface Acknowledgments xi xvii CHAPTER 1 Introduction 1 Banks and Risk Management 1 Evolution of Bank Capital Regulation

More information

Basel 2.5 Model Approval in Germany

Basel 2.5 Model Approval in Germany Basel 2.5 Model Approval in Germany Ingo Reichwein Q RM Risk Modelling Department Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin) Session Overview 1. Setting Banks, Audit Approach 2. Results IRC

More information

Oracle Financial Services Liquidity Risk Management

Oracle Financial Services Liquidity Risk Management Oracle Financial Services Liquidity Risk Management Analytics User Guide Oracle Financial Services Liquidity Risk Management Analytics User Guide, Copyright 2017, Oracle and/or its affiliates. All rights

More information

QUICK START. Your Guide to Using Telemet Orion

QUICK START. Your Guide to Using Telemet Orion QUICK START Your Guide to Using Telemet Orion 1 Your Telemet investment platform is organized into Workspaces and component displays. Component displays are individual windows with market data, charts,

More information

Northern Trust Corporation

Northern Trust Corporation Northern Trust Corporation Market Risk Disclosures June 30, 2015 Market Risk Disclosures Effective January 1, 2013, Northern Trust Corporation (Northern Trust) adopted revised risk based capital guidelines

More information

Market Risk VaR: Model- Building Approach. Chapter 15

Market Risk VaR: Model- Building Approach. Chapter 15 Market Risk VaR: Model- Building Approach Chapter 15 Risk Management and Financial Institutions 3e, Chapter 15, Copyright John C. Hull 01 1 The Model-Building Approach The main alternative to historical

More information

Proxy Techniques for Estimating Variable Annuity Greeks. Presenter(s): Aubrey Clayton, Aaron Guimaraes

Proxy Techniques for Estimating Variable Annuity Greeks. Presenter(s): Aubrey Clayton, Aaron Guimaraes Sponsored by and Proxy Techniques for Estimating Variable Annuity Greeks Presenter(s): Aubrey Clayton, Aaron Guimaraes Proxy Techniques for Estimating Variable Annuity Greeks Aubrey Clayton, Moody s Analytics

More information

UCITS Financial Derivative Instruments and Efficient Portfolio Management. November 2015

UCITS Financial Derivative Instruments and Efficient Portfolio Management. November 2015 2015 UCITS Financial Derivative Instruments and Efficient Portfolio Management November 2015 3 Contents Relevant Legislation 5 Permitted FDI 5 Global Exposure 6 Commitment Approach 7 Commitment Approach-

More information

Advanced Foreign Exchange Derivatives This course can also be presented in-house for your company or via live on-line webinar

Advanced Foreign Exchange Derivatives This course can also be presented in-house for your company or via live on-line webinar Advanced Foreign Exchange Derivatives This course can also be presented in-house for your company or via live on-line webinar The Banking and Corporate Finance Training Specialist Course Objectives The

More information

BlackBoard Analytics SSRS (Web Reports) User Manual September 2017

BlackBoard Analytics SSRS (Web Reports) User Manual September 2017 BlackBoard Analytics SSRS (Web Reports) User Manual September 2017 BlackBoard Analytics SSRS Financial Reports When the link for the BlackBoard Analytics SSRS Financial Reports is opened, the user will

More information

Banner Finance. Self Service Manual

Banner Finance. Self Service Manual Banner Finance Self Service Manual 12/06/2011 Table of Contents Logging into Banner Finance Self Service... 2 Budget Queries... 5 Saving Budget Queries... 15 Encumbrance Queries... 21 Budget Transfers...

More information

Advanced Concepts in Capturing Market Risk: A Supervisory Perspective

Advanced Concepts in Capturing Market Risk: A Supervisory Perspective Advanced Concepts in Capturing Market Risk: A Supervisory Perspective Rodanthy Tzani Federal Reserve Bank of NY The views expressed in this presentation are strictly those of the presenter and do not necessarily

More information

CarbonSim Glossary (October 20, 2017)

CarbonSim Glossary (October 20, 2017) Abatement Abatement Screen Abatement Undertaken Administrator Allocation Allowance Allowance Auction Allowance Auction Time Annual Emission Reductions Annual Net Revenue/Cost Artificial Intelligence (AI)

More information

SUNDAY, NOVEMBER 5 MONDAY, NOVEMBER 6

SUNDAY, NOVEMBER 5 MONDAY, NOVEMBER 6 SUNDAY, NOVEMBER 5 12:00 pm Registration & Information Desk (12:00 pm 7:00 pm) 12:30 pm Pre-Conference Activities (Golf; Everglades) 2:00 pm Pre-Conference Activity (Boca Brews & Burgers Tour) 7:00 pm

More information

5.- RISK ANALYSIS. Business Plan

5.- RISK ANALYSIS. Business Plan 5.- RISK ANALYSIS The Risk Analysis module is an educational tool for management that allows the user to identify, analyze and quantify the risks involved in a business project on a specific industry basis

More information

Advanced Financial Statements

Advanced Financial Statements Sage 100 Fund Accounting Advanced Financial Statements STUDENT WORKBOOK SAGE LEARNING SERVICES Important Notice: Authentic Sage 100 Fund Accounting training guides display a holographic image on the front

More information

CESR s Guidelines on Risk Measurement and the Calculation of Global Exposure and Counterparty Risk for UCITS

CESR s Guidelines on Risk Measurement and the Calculation of Global Exposure and Counterparty Risk for UCITS COMMITTEE OF EUROPEAN SECURITIES REGULATORS Date: 28 July 2010 Ref.: CESR/10-798 FEEDBACK STATEMENT CESR s Guidelines on Risk Measurement and the Calculation of Global Exposure and Counterparty Risk for

More information

Executive Summary: A CVaR Scenario-based Framework For Minimizing Downside Risk In Multi-Asset Class Portfolios

Executive Summary: A CVaR Scenario-based Framework For Minimizing Downside Risk In Multi-Asset Class Portfolios Executive Summary: A CVaR Scenario-based Framework For Minimizing Downside Risk In Multi-Asset Class Portfolios Axioma, Inc. by Kartik Sivaramakrishnan, PhD, and Robert Stamicar, PhD August 2016 In this

More information

You can get quick views of your account balances in Treasury Net, and also expand your view to include multiple balance reporting options.

You can get quick views of your account balances in Treasury Net, and also expand your view to include multiple balance reporting options. Section III: City National Treasury Net Balance Inquiries You can get quick views of your account balances in Treasury Net, and also expand your view to include multiple balance reporting options. Dashboard

More information

RECORD, Volume 24, No. 2 *

RECORD, Volume 24, No. 2 * RECORD, Volume 24, No. 2 * Maui II Spring Meeting June 22-24, 1998 Session 79PD Introduction To Value-At-Risk Track: Key words: Moderator: Panelists: Recorder: Investment Investments, Risk Management EDWARD

More information

Arbor Risk Attributor

Arbor Risk Attributor Arbor Risk Attributor Overview Arbor Risk Attributor is now seamlessly integrated into Arbor Portfolio Management System. Our newest feature enables you to automate your risk reporting needs, covering

More information

Benchmarking Guide. Compare, rank and benchmark your companies, clients or franchisees...

Benchmarking Guide. Compare, rank and benchmark your companies, clients or franchisees... Benchmarking Guide Compare, rank and benchmark your companies, clients or franchisees... Table of Contents OVERVIEW REPORTING 03 Introduction 21 Benchmarking Reports BENCHMARK SETTINGS 22 Benchmarking

More information

INTEREST RATES AND FX MODELS

INTEREST RATES AND FX MODELS INTEREST RATES AND FX MODELS 7. Risk Management Andrew Lesniewski Courant Institute of Mathematical Sciences New York University New York March 8, 2012 2 Interest Rates & FX Models Contents 1 Introduction

More information

CME Group Equity Quarterly Roll Analyzer

CME Group Equity Quarterly Roll Analyzer CME Group Equity Quarterly Roll Analyzer Guide to getting started August 2017 Powered by QuikStrike Each quarter during the roll period, CME Group s Equity Quarterly Roll Analyzer is populated with the

More information

FINANCIAL DERIVATIVE. INVESTMENTS An Introduction to Structured Products. Richard D. Bateson. Imperial College Press. University College London, UK

FINANCIAL DERIVATIVE. INVESTMENTS An Introduction to Structured Products. Richard D. Bateson. Imperial College Press. University College London, UK FINANCIAL DERIVATIVE INVESTMENTS An Introduction to Structured Products Richard D. Bateson University College London, UK Imperial College Press Contents Preface Guide to Acronyms Glossary of Notations

More information

Morningstar Direct SM 3.16 Release Aug 2014

Morningstar Direct SM 3.16 Release Aug 2014 The Morningstar Direct team is pleased to announce the new features and enhancements in version 3.16. In this release, you can now search for Strategic Beta products in addition to taking action on new

More information

ARM. A commodity risk management system.

ARM. A commodity risk management system. ARM A commodity risk management system. 1. ARM: A commodity risk management system. ARM is a complete suite allowing the management of market risk and operational risk for commodities derivatives. 4 main

More information

G L O B A L S E C U R I T I E S L E N D I N G

G L O B A L S E C U R I T I E S L E N D I N G GLOBAL SECURITIES LENDING Report Guide G L O B A L S E C U R I T I E S L E N D I N G R E P O R T G U I D E Northern Trust s Global Securities Lending package offers a comprehensive suite of reports designed

More information

Market risk measurement in practice

Market risk measurement in practice Lecture notes on risk management, public policy, and the financial system Allan M. Malz Columbia University 2018 Allan M. Malz Last updated: October 23, 2018 2/32 Outline Nonlinearity in market risk Market

More information

CreditEdge TM At a Glance

CreditEdge TM At a Glance FEBRUARY 2016 CreditEdge TM At a Glance What Is CreditEdge? CreditEdge is a suite of industry leading credit metrics that incorporate signals from equity and credit markets. It includes Public Firm EDF

More information

A Renewed Focus on Risk Management at US Public Pensions

A Renewed Focus on Risk Management at US Public Pensions A Renewed Focus on Risk Management at US Public Pensions A Client Case Study: Massachusetts Pension Reserves Investment Management Board Doug Slater, CFA douglas.slater@ About PRIM Massachusetts Pension

More information

Regulatory Capital Disclosures Report. For the Quarterly Period Ended March 31, 2014

Regulatory Capital Disclosures Report. For the Quarterly Period Ended March 31, 2014 REGULATORY CAPITAL DISCLOSURES REPORT For the quarterly period ended March 31, 2014 Table of Contents Page Part I Overview 1 Morgan Stanley... 1 Part II Market Risk Capital Disclosures 1 Risk-based Capital

More information

Measuring Portfolio Risk

Measuring Portfolio Risk Measuring Portfolio Risk The first step to hedging is measuring risk then we can do something about it What do I mean by portfolio risk? There are a lot or risk measures used in the financial lexicon.

More information

BarraOne Report Tool (BRT)

BarraOne Report Tool (BRT) BarraOne Report Tool (BRT) Asset Managers Sample Report Pack This document is an extract from the BRT Sample Report Pack for Asset Managers v 1.0.1 Fixed Income: Manager Report Analysis Date: Report Date:

More information