Setup > Analysis

Reports and Analysis Setup

Risksvr™ carries analytics that vary widely both in depth and in kind.
Additionally this wide spectrum of analytics can be combined, complemented and refined accommodate different assumptions.

 

 

Choosing the right analytics for You.

The first and most important aspect of analytics depends largely on the  Type of Risk Exposure.

Risk Exposure Types:

The most important types are Market Risk, Credit Risk and Market and Credit Risk

 Exposure Risk type affects analytics both directly and indirectly since it also determines the analytics that are available

For example, if you need to measure your current and projected Country Risk, you must activate a Risk Exposure that includes Credit Risk.

This is necessary since your exposure to country risk is measured through the Exposure of each Accounts that belongs to the counterparties with whom you have carried out transactions.
Setting Description
Var VaR is the Mean Zero Value-at-Risk, also known as Absolute VaR.
VaR is computed by multiplying the portfolio's standard deviation by the confidence multiplier
DEaR DEaR or Earnings-at-Risk. Also known as Relative VaR or Expected Mean VaR..
Expected Mean VaR takes the average position as the mean which will be subtracted from the position's volatility and then multiplied by the confidence multiplier.
VaR as Percent: Produces results relative to Market Value. this makes results easier to compare.
Multiple Confidences Multiple Confidence generate Value-At-Risk results for multiple confidence multipliers: 
Market Risk is produced with  99%, 95% and 90% Confidence Levels whereas
Credit Risk   is produced for 99%, 98% and 97.5 % Confidence Levels.
Note: Multiple Confidences are note produced in the Dynamic/JavaScript Report since you can select confidence multipliers dynamically
Moments Of Distribution Mean Volatility, Skew-ness and Kurtosis Displays the first four moments of your portfolio and its constituents. Advanced user often select this report to assess the return distribution of their portfolio and positions.. I.e. test Normal Distribution, test Student-T / fat-tail distribution (i.e. even or odd moments at 0, etc.

Credit Settings


Setting Description
Credit Exposure Credit Exposure Tail Probability as well as individual buckets can be defined for each Account or Tag in the Exposure Section of the Credit Module The Credit Exposure Bucket Tails are set to 5% by default, which assumes a 95% confidence level, which is the standard practice in industry. The credit Exposure Tail Probability can be set to any valid number between 0 and 99.999%
Loss Given Default The loss option enable loss given default computation.  Loss computation assumes a proper Default probability curve or Transition Matrix has been set . If you have not defined one yourself, the engine will take the default credit curve or transition matrix defined in the credit module Note you cannot run Credit Losses when performing Correlated Delta-Gamma. Historical Simulation is not really recommended, since Credit analysis assumes a high number of samples.
Credit Draws Per Market Sample The Credit Draw field s defines the number of random draws that will be performed for each Market Risk Run. For example, if you define 10, the engine will draw ten random samples to simulate Bankruptcy for each Market Simulation.
Detail Losses Due To default Provides detailed statistics of Defaults Loss Computation: the number of default states as well as the amount computed as the loss. Each individual default event, including average, peak and individual loss amount and senior counterparty status can be requested.,
Pay Receive By Rating Pay Receive by Rating displays the overall payable and receivable positions per rating rank at inception (at time 0).  If migration is active in the analysis and a one (for all the time steps) or multiple )one for each time step) transition matrices is/are specified, then payable and receivable amounts as well as a separate received / paid interest (to/from cash-accounts) tables are displayed for each simulation horizon and rating rank defined.

Country Risk - Credit Dependant

Setting Description
Country Risks Both Country Exposures and Country Default Losses depend on Credit Loss and country devaluation and limit settings in the credit module.

Valuation Settings

Setting Description
Ageing This feature is active by default except for Correlated Delta-Gamma. If. you disable position ageing, the engine will assume positions do not mature as they evolve over simulation horizons.
Par at Inception Interest Rate Swaps, Bond Forwards and other related fixed income instruments begin at Par when the simulation kicks off (i.e. at time 0). If this feature is disabled, the engine computes the market fair value.
Revalue Collateral On by default. This flags activates Collateral Revaluation at each simulation horizon. If this feature is disabled, the engine assumes the same collateral value computed at inception.
Mean Reversion This flags activates mean reversion calculation in the stochastic simulation of interest rate vertices of yield curves.
DV/DP Increment Size This fields sets the size of the Parametric Simulation dv/DP change of Price. By default the size is assumed to be 0.01 i.e. 1%. For each Position in the Portfolio and For each risk factor that affects a positions, the engine computes the Market Fait Value, then shifts the risk factor up by 0.5% and then re-computes the new fair-value, it then  bumps the risk factor down by 0.5 % and then re-computes the new fair-value. The engine then takes ;the average of the difference between the two changes in order to obtain the price change for a given risk factor change. Then it proceeds to the next risk factor(s) and this for each and every position in the portfolio(s).

Correlated Delta-Gamma Specific

Setting Description
DV/DP Type This fields sets the type of the Parametric Simulation dv/DP change of Price. Either Relative or Absolute. By default the size is assumed to be Relative.
Diversification Benefit: Diversification Benefit is calculated automatically for certain reports. You can however decide to disable this feature if you find it irrelevant.

Liquidity Risk

Setting Description
Liquidity Risk Liquidity Risk is defined at the position level in the liquidity field of the position screen, at a group level in the liquidity field of the tag exposure screen.