StatPro Revolution Risk
RISK ANALYTICS AND REPORTING
StatPro Revolution is the culmination of the breadth and depth of StatPro’s incredible expertise in portfolio analytics and reporting. Building upon expertise and methodologies developed during years of creating award winning risk measurement products, StatPro Revolution enables client’s to demonstrate their ability to manage risk across multiple asset classes. StatPro Revolution provides fast and flexible risk reporting with extended asset class coverage to enable a more transparent illustration of risk exposure and value at risk. Powered by the cloud and a stateless API ensures unmatched computational performance. The multi-asset class risk model covers hundreds of pricing functions, ranging from plain vanilla instruments to exotic derivatives.
Complete set of absolute risk metrics at portfolio and single asset level
- Absolute Risk metrics, such as: VaR, expected shortfall, potential gain, expected upside, expected Volatility available at single asset and portfolio level
Complete set of relative risk metrics Vs benchmark or liabilities at portfolio and single asset level
- Relative Risk metrics against benchmark, such as: relative VaR, relative expected shortfall, relative potential gain, relative expected upside, expected tracking error available at single asset and portfolio level
- Capacity to create portfolios of liabilities with support of inflation capitalization
- Comprehensive sensitivity analysis provides insights on hedging effectiveness
Wide array of absolute relative stress tests offering three different methodologies
- Historical scenarios re-price your portfolios after the underlying risk factors are shocked by the scenario’s historical changes
- User-defined stress tests let the user input the shocks to the underlying risk factors and simulate the impact on portfolio P&L accordingly
- Innovative predictive stress test scenarios based on Kalman Filter, helps you understand the local structure of correlation to provide a more accurate assessment of your expected portfolio P&L if a certain risk factor is shocked by a user-defined amount
Risk simulation framework, on demand stress testing and sensitivity analysis
- Create risk simulations based on changes or exclusions to individual holdings or sector weights
- Dedicated stress test dashboard showing absolute and relative impacts on the portfolio at return and monetary levels
- Dedicated sensitivity analysis dashboard showing impacts of pre-determined factors such as interest rates, credit, inflation and FX rates
RISK LIMITS AND COMMITMENT LEVERAGE MONITORING
Regulations are putting increasing pressure on asset managers in the field of portfolio compliance monitoring. One of the most important events in the regulatory landscape has been the implementation of the AIFM Directive in 2014. StatPro’s risk limits and commitment leverage monitoring calculates the commitment exposure of a portfolio, satisfying the complex rules designed for derivative instruments, including pre-defined UCITS and AIFMD (Annex IV) reports.
Award winning risk limits and commitment leverage monitoring
- Portfolio VaR including VaR ratio for relative analysis against benchmarks or reference portfolios
- Gross leverage, UCITS leverage and commitment leverage calculated
- Coverage of complex derivatives with identification of uncovered assets
Cost effective UCITS and AIFMD compliance reporting
- Per portfolio model with unlimited users and sites*
- Manage all your regulated funds on a single analytics platform with data included
- Designed for UCITS and AIFMD regulations, responding to ESMA guidelines and reflecting ALFI, CSSF and FCA inputs
Visual and transparent analysis of regulated funds
- Visual illustrations of all your regulated funds
- Monitoring of computed results via a traffic light approach
- Complete transparency and drill-down into the commitment approach calculation
Centralized reporting content and management
- Full audit trail with user defined validation and online comments function
AWARD WINNING MULTI-MODEL FRONT-OFFICE FOCUSED RISK ANALYTICS
StatPro Revolution Alpha (formerly Investor Analytics) combines robust position based risk analytics and dynamic factor modeling in an intuitive cloud based user interface.
Risk management is not an option. You have a clear choice: integrate robust risk analysis into your investment decision process, or surrender real advantages to those who do. Revolution Alpha provides intuitive risk reporting including stress tests, Value-at-Risk, correlations and simulations of your portfolio’s likely responses to market events.
Benefits of Revolution Alpha:
- Identify sources of your portfolio’s risk and compare to sources your portfolio’s returns;
- Attribute the portfolio’s risk into meaningful factors and asset-classes;
- Identify unintended bets using our custom factor model engine;
- We handle all your data mapping for rapid onboarding: clients are live in 4-6 weeks.
- Slice & dice your portfolio as you want it using your own custom tags, or by using any attribute of the security such as asset class, geography, manager, strategy, duration, etc.;
- Understand how correlations drive your portfolio’s risk;
- Understand how bottom up security selection impacts top down portfolio level risk;
- Build risk frameworks;
- Investor, Board and Investment Committee Reporting;
- Data Extracts to support data warehouses and data collection Initiatives.
Position-Based Risk Management coupled with a Custom Factor Model Engine:
- Exposures, Volatility and Correlation analyses
- Monte Carlo and Variance/Covariance VaR
- Marginal Contribution to Risk with Component VaR, and Incremental VaR
- Flexible exposure calculation and position netting rules, ex-cash analysis, beta-adjusted exposures
- Betas by Strategy, by Market Side, by any Proprietary Grouping
- Option greeks, implied volatilities and FX risk
- All analytics at each level of your portfolio structure
- Reallocation what-if analysis
- Portfolio re-pricing under stressed market inputs: Stress yield curve, credit spread, option implied volatility, FX rates, equity prices and commodity prices.
- Separation of FX risk to isolate pure market price risk.
- Reallocation tools: change any allocation and see the effects on risk in real-time.
- Correlation shocks: see how all parts of the portfolio respond to changing correlations.
Dynamic Factor Model Engine:
- Automated custom Factor Modeling for each level in the portfolio
- Over 1,000 interpretable factors across geography, sector and asset class including traditional factors like momentum, size, etc.
- Identification of Unintended Exposures and Correlations
- Easy-to-use Stepwise Regression based Factor Model Construction Engine
- Factor Modeling Based Stresses
- Correlated and Uncorrelated Stresses
- Comprehensive diagnostic of factor models including PCA
- Intuitive and practical reports.
- Comprehensive Data Management of positions and market data. We interface with over 70 Fund Administrators, Brokers and Custodians to map your holdings data directly.
- Rapid on-boarding, with “go-live” typically within 4 – 6 weeks of kickoff. We regularly accomplish this “minor miracle” because of our data management, ETL and project experience.
- Dedicated Client Services Executives who understand the nuances of fund management
“The quintessential toolbox for risk management, especially valuable in challenging market environments”
President, Mt. Lucas Mgmt. Corp.
“StatPro Revolution Alpha’s factor modeling suite makes it easy for me to communicate the most relevant factor risks to my clients and provides an actionable framework for dynamic hedging.”
– Benjamin Dunn
President, Alpha Theory Advisors
Risk analysis is hard, and the tools you use shouldn’t make it more difficult. In fact, they should make it simple. That’s why StatPro Revolution Alpha is always improving our already intuitive and user-friendly web interface. Our PDF reports are ‘board quality’ so important results stand out clearly. We aim to make risk simple.
We have other risk tools too:
QuantLib is the most successful open source project for quantitative finance in the world. Created by StatPro, it provides financial pricing libraries and tools for building bond pricing functions. Our risk management solution and complex assets pricing, have been built around QuantLib.
“In the past clients have contacted us because they wanted to use QuantLib but their IT policy did not permit the use of open source software in production platforms. They needed a "certified" version, free of mal-ware and guaranteed by a professional operator. But they also wanted our support and integration expertise...” says an IT person from StatPro
“Following this market need, StatPro now offers an adapted version of QuantLib, modified in order to meet client requirements.
QuantLib Squared offers more than 250 pricing functions. These have been created using QuantLib and give you access to a complete universe of pricing functions for risk assessment covering every asset class from equity, interest rate-linked products to mortgage-backed securities.
To learn more, visit www.statpro.com/revolution
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