Portfolio Risk

Organizations require both a high-level view of the firm's risk and a detailed, trade-level view. Managers and compliance officers need to understand the risk across the company while traders and portfolio managers need a more detailed view of trade-level risk. Implementing a solution that gives you the complete risk information at the portfolio-level is a challenge.

Some risk metrics can be calculated at the trade level and then rolled up to the portfolio level by simply summing the trade-level metrics (such as value and sensitivities like DV01 or hedge factors). However, other metrics must be calculated at the portfolio-level from the start since they do not aggregate linearly due to offsetting positions and correlation effects. So how can you bring together the necessary data (reference data, position data, market data, etc) with a sufficiently powerful analytical platform–one hat is designed to operate at the portfolio level?

FINCAD's powerful enterprise analytics platform can meet this challenge by providing you with comprehensive portfolio-level analytics. In addition, FINCAD's platform is built with a generic architecture so you can model both vanilla and even the most complex deals, gain computational efficiencies for better calculation performance and integrate with existing systems quickly and easily.

Comprehensive Portfolio-Level Analytics

  • Calculate Portfolio-Level Risk as Simply as a Trade: Our analytics platform allows calculations to be performed at the portfolio level as easily as if it were a single trade. New trade types are easily supported with minimal incremental setup, even for cross-asset or multi-currency portfolios. We have included templates to conveniently create vanilla trades, and a language to represent any exotic trade.
  • Portfolio-Level Risk Analytics: FINCAD's solution ensures that all portfolio-level risk metrics can be calculated within its analytics platform. This is important because if your platform was only capable of performing trade-level calculations, then the results must be aggregated externally. Not only is this inefficient, but often it is impossible depending on the metric.

Faster Calculation Performance

Computational speed is of critical importance, especially when near real-time or on-demand risk is required. FINCAD solutions have the ability to save significant time in calculating your portfolio by:

  • Caching and re-using components, such as curves and calibrated parameters, creating efficiencies for an otherwise computationally intensive step.
  • Using lazy evaluation which allows you to (re)calibrate only the affected and necessary components
  • Taking advantage of parallel computing, using multiple cores and/or processors to split the work along various dimensions (e.g., by scenario, time interval, counterparty, etc).

Easy Integration So You Can See Risk across Your Entire Organization

FINCAD's platform is flexible enough to integrate with multiple systems allowing you to create applications that can be used in any IT infrastructure. Integrating our analytics platform with your existing systems enables you to bridge the gap between the disparate silos that can exist in your organization and provides you with greater visibility across the firm.

Contact a FINCAD representative to learn more about our portfolio risk solution or request a customized demonstration.