![]() ![]() Market and paid prices at the begin and end date of the historical period.The following components are included into the calculation: Performances can also be tracked against multi-level benchmarks. It is separated into realised, non-realised and FX-effects, which are aggregated along the sub-portfolio hierarchy. The performance of positions and portfolios is calculated for a historical period, that includes transactions.Multi-factor Monte Carlo simulation-based VaR calculation, VaR types: total, FX, IR, SI, share, mixed, marginal, incremental, spread, historical.Results of multiple scenarios can be compared. VaR calculation on all levels of the portfolio structure taking into account the applied market scenario.Application of multiple market scenarios.Interest income / fund transfer pricing.User defined attributes can be defined for positions, instruments and portfolios. Additionally, different future behavioural changes (such as growth, defaults of large customers, deposits increase, etc.) can be tested in the presence of cash flow scenarios, in order to optimise the asset and liability management. Provides the means to present the disposition of future cash flows and detect any gaps, investment efficiency in the presence of different market scenarios.Market, volatility and value scenarios.Markowitz optimisation, including non-linear portfolios.investments in EUR > 30% and investments in USD < 40%. ![]()
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