Integrated Portfolio Analysis and Stress Testing Dashboard
Portfolio Analysis Module
- Using the portfolio mapping wizard, users can organize their transactions in portfolio structures based on any desired filtering criteria, such as asset classes, regions, counterparties or business objectives.
- Drill down capability allows users to display marginal valuations at any desired portfolio layer, or roll up valuation to aggregate values across portfolios.
- Valuation is combined with sets of user defined stress scenarios.
- A user friendly wizard allows users to define any desired valuation or risk indicators, such as Cash Flow, Value or Mark to Market, Counterparty Exposure, or any regulatory indicators stemming from Dodd Frank or Basel III, such as Liquidity (LCR) or Capital Adequacy.
- Results can be displayed along several dimensions: by portfolio layers across time or by time bucket (monthly, quarterly, yearly) across portfolio layers.
- The multiple currency evaluation engine allows portfolios valuation to be performed in any desired currency, regardless of the original currency of the transactions.
- Portfolio stress testing valuation is combined with Monte Carlo simulation to generate a full distribution of possible outcomes, from which best and worst case risk statistics are computed at any desired percentile.
- The integrated portfolio analysis dashboard allows users to see in one glance and in one panel, various values for a selected risk indicator, across all stress scenarios.
Click image for a larger view.
Stress Testing Module
- Using the stress test wizard, users can define any desired stress test scenarios, by simply typing in the desired rules as mathematical formula in an editor.
- Stress test scenarios can be defined as haircuts (percentages or set amount) induced on any portfolio's market value or cash flow. These can be used to model microeconomic factors or regulatory requirements. For example, the bond portfolio receives a hair cut of 10%, the equity portfolio is shifted by $ 200 M, and the mortgage or loan portfolios looses 25% of its cash flow.
- Stress test scenarios can be defined as shocks induced via any desired index formula, to base market curves or rates such as interest rates, FX, energy, commodities, etc. These can be used to model adverse market moves. For example, LIBOR moves up by 2% quarterly, crude oil tops $120 BL and rises 4% a month over the next quarter, before dropping.
- Users can first define multiple stress test scenarios and then combine them with a drag and drop wizard to create one comprehensive stress test case. For example, this can be done by severity order.
- Once a stress test case is created, it becomes automatically activated throughout the system. The interface of the portfolio analysis dashboard modifies itself to display the stressed scenarios visually as curves and in table format, and the computational engine runs the stress test on the selected portfolio and displays the results on the modifies interface.
Click image for a larger view.
