Market Risk

Respond Quickly and Accurately to a Rapidly Changing Market Environment and Increased Regulatory Demands

Our market risk management solution is built upon a flexible, yet rigorous programming platform, S-PLUS.

When choosing a market risk management solution you need answers:

• Do you accurately understand the sources of concentration in your portfolio?
• Can you improve portfolio performance through hedging, capital reallocation and/or reducing your exposure to certain instruments, in geographies and industry sectors?
• Does your current market risk management solution help you meet regulatory requirements, while allowing you to evolve in response to a changing regulatory environment and/or the addition of exotic trading instruments?
• Can you quickly and accurately take advantage of profit opportunities while maintaining an optimized diversification in your portfolio?
• Are certain investments and/or concentrations forcing your organization to take on too much risk for the potential rate of return?
• Are your current trading constraints overly conservative or too relaxed for maximizing profit and minimizing risk?

With Insightful Financial Solutions for Market Risk Management you have the following capabilities:

• Data Integration: Integrate with your current data architecture.
• Libraries & Advanced Analytics: VaR for Equity, Fixed Income, Options, SWAPs and Alternative Investments, EVT, MGARCH, PCA and extensive pricing libraries are available for rapid deployment
• Backtesting: Improve confidence in valuations and support a more accurate decision making process
• Risk Aggregation: Capture an enterprise wide view of your market risk related to positions across asset classes, business lines and geographies
• Reporting: Deploy standard and custom reports through a portal or integrated into your current reporting system through available APIs

For more information, please make your selection from among our white papers, case studies and archived Web casts:

• Archived Events & Web Casts
• Success Stories
• Whitepapers & Application Notes

If you would like to read how S-PLUS is used in complex financial models you can review these titles available for sale:

• Second Edition of Modeling Financial Time Series with
  S-PLUS, by Eric Zivot and Jiahui Wang
• Quantitative Risk Management: Concepts, Techniques, and Tools, by Alexander J. McNeil, Rüdiger Frey, & Paul Embrechts
• Statistical Analysis of Financial Data in S-PLUS, Rene Carmona

For more information on how Insightful Financial Solutions for Market Risk Management can help your institution better measure and report on risk please contact us via email or call in the US and Canada (800) 569-0123, UK +44 (0) 1256 339800, or Zurich +41 (0)44 251 68 44.