The latest suite of enhancements were primarily developed and implemented in response to specific fund client requirements and new market opportunities, and are now available as part of GlobeOp's overall Risk services.
"Independent verification, timeliness, scale and customization are now the key risk reporting drivers for front office fund managers and investors alike," said Tony Glickman, global head of GlobeOp Risk Services. "Increasingly, both fund managers and their investors are demanding that risk reports be produced from the same independently-reconciled trade and position data the administrator uses to calculate the fund's net asset value (NAV). These latest risk products and metrics increase a managers' ability to independently confirm to investors that agreed investment style, risk profiles and limits are being adhered to, without revealing strategic trades or opportunities. Managed accounts benefit from independently-verified position and NAV-related risk data aggregated across all accounts into a single daily report. It's a seamless integration between the fund's official, independently-calculated books and records and its risk reporting and analytics."
Extended product coverage spans a wide variety of complex instruments, including caps and floors on constant maturity, commodity, Fed funds, inflation and total return swaps; and options on single-name and index credit default swaps.
Risk analytics have also been significantly expanded. GoRiskÂ® Report's Value-at-Risk (VaR) analytics now include the calculation and reporting of conditional, incremental and marginal VaR, using both historical and Monte Carlo simulation. Clients can report worst loss and expected shortfall measures for incremental VaR, and risk factor-based conditional and marginal VaR. Marginal and conditional VaR measures for volatility risk factors are also available.
GoRisk Report services include position and exposure reporting, pre-trade scenario analysis, customizable stress tests, and VaR calculations with flexible parameters. Risk services can be integrated into GlobeOp's full-service fund administration or provided as a standalone service, including to managed accounts. Reports are delivered online daily and can be customized to specific manager or investor requirements. Users are able to drill down to position-level results, with managers determining the degree of investor access to data.