Report Module 

 

The Output Report module provides the necessary interface to define the reports produced by Risksvr™.

For you convenience, a number of standard reports have already been selected. 
If this is your first run, you should probably accept the current settings (Save) and run Risksvr™ directly. 
This will give you a quick overview without having  to dwell into risk reporting.

 

Risksvr™ can produce huge amounts of data so it is important to understand how data is produced.

 Risksvr(tm) can slice and dice data according to the tag(s) you have associated to the trade. You can also ask the engine to generate automatically the dimensions according to specific criterias, such as the Internal Trade Identifier (guaranteed unique), the asset product type, the risk factor, the country, counterparty or account number, etc.

Each tag associated with a trade, account or  portfolio is a self contained dimension. 
The hierachy in which you define these tags creates futher dimensions or hierarchies.

For example, if you want to view the risk of your trades by manager, investment  strategy and  product you might associate the following tag to each trade:

/manager/strategy/product

Each dimension hierchy is separater by a  /

 When you run Risksvr, the tag dimenison will actually produce multiple results:

You will get results by manager.

You will get results by manager/strategy

You will get results by strategy.

You will get results by manager/strategies and products.

You will get results by products

etc..

And this for each and every step and drill down report specified!

 So the number of results increases expenentially with the number of tags in the hierachy

 

For each drill down dimension you can run:

Market, Standalone Credit, Market and Credit, Credit analysis 
with full netting or Credit with NO netting. 
The Credit and Market and Credit will net results according to the netting rules defined for each account. 
The Credit Full Netting will net all accounts, thus overriding any setting in the account setup. The No netting will ignore the account settings and assume netting is not legally binding.

You can also requests advanced statistics for each type of results obtained by selecting moments of distribution. The moments of distribution will provide the four (4) first moments of the dimension's distribution (mean, volatility, skewness, and kurtosis)

  • Credit Exosures
    You can activate Exposure calculations by selecting Account Potential Distribution.

  • Losses
     You can compute losses and the required buffer capital to cover your losses by selecting Losses. For obvious computational reasons, Losses are only available when performing Monte-Carlo Simulation.
    Receivable and Payables by Rating Rank
    To get Receivable and Payable sorted by Rating Category select Rank Order Assets and Liabilities. 

  • Intermediate Data
    During Monte-Carlo Simulations Intermediate Results can be produced for each and every simulartion that the engine will perform. To activate this feature select     detail simulations.
         Beware ! Detail simulations This will 
    1    ) increase the amount of data produced.
    2) Take much more time to generate the report. Outputting data is the biggest bottleneck when performing computations!


    Once you have selected your reports

  Click on SAVE