| Engine | Home
 
 RiskServers SA
Time-Series-Manager 
Time-Series-Manager

Unitized  Time-Series-Manager
RiskServers has finally decided to release a simplified version of the same tool used by RiskServers SA to compute  volatility, correlation, mean reversion rates, forward volatilities and correlations, eigen-values and vectors etc..


Unitized Time-Series-Manager has been specifically designed to simplify the most challenging and reactive task in financial risk management and provide a series of tools to automate most Risk Factor computations.

Financial Institutions that already possess all the necessary data internally often prefer to purchase this data from third parties rather than face the challenge of generating this data on a daily basis.

 

 Unitized Time-Series-Manager now makes Market Data for risk Management purposes a cinch.

Better yet you can now put to work your data feeds in order to derive real-time or near-real time Risk Factor computations on every computer that needs  this information. Time Series Manager can even manage multiple groups of data needed by different users on different database servers.

Unitized Time-Series-Manager is specifically designed to streamline and automate market risk factor management and computation. Unitized time-Series-Manager includes all the necessary tools built on top of RiskServers  Market Data Schema to:
  • Import Asset Prices
    • Asset prices can be imported individually or in bulk. The import process separates existing risk factors from possible new definitions. Users can create new risk factor definitions on the fly. Prices can be snapped from Excel on a real-time basis.
  • Scrub and Map
    • Data can be mapped and scrubbed before it is stored. Automatic process includes the facility to attach your own mapping and scrubbing statements as well as use internal tools to clean and unify names, remove special or dangerous characters etc, complete or regenerate Asset identifiers or Market identifiers and synchronize related tables. (INDICES and EQUITY tables, Curves, spread-curves and Riskless Curve definitions.
  • Visual Management of Definitions
    • Time-Series-Manager provides a series of tools to review and edit terms and conditions individually or globally.
  • Data Breakdown and Storage
    • Due to the sheer size of some Time Series Data, assets may be broken down into smaller tables. This is typically the case for Yield curve Vertices. Due to the large amounts of data, Curves are separated into different categories, such as Base (Riskless) curves, Swap, Money-Market or corporate Curves. These curves are then stored in Base or Spread Market Vertices. The same holds true for individual Equities, which are often separated from Primary and secondary Indices.
  • Validate and Check Series
    • The import process provides a series of tools to validate and check imported market data. Identify and Compute missing points according to different schemes: Previous Valid, MLE, Avergae to date, etc. Remove Renegade Time Series, (Most distant, Least distant, where distance can be measured in terms of Returns, Means Returns, Vol, MLE etc.


 

Unitized Time-Series-Manager contains two different modules.

The first module is made of a series of tools to create, import, clean, scrub, check, store, retrieve, export and manage risk factor vertices. The module is also designed to automate this import and scrubbing process and identify missing or "renegade" market prices.

The second module extracts all needs Risk Factor time Series and computes Stochastic Variables for the risk Engine.

Currently, Time-Series-Manager covers the following computations:


  1. Extract, compute and Organize Prices, Returns and Unitized Returns for Historical Simulations.
    • Currencies
    • Indices and Equities
    • Commodity Curves
    • Riskless Curves
    • Spread-Curves
    • Volatility Surfaces
    • Forward Rate Volatilities
  2. Generate Unitized Standardized Returns to bypass Cholesky / SVD decomposition during Multivariate Simulations and Marginal Value-at-Risk computation.
  3. Compute Volatility and Correlations. With or Without EWMA schemes for:
      4. Currencies
    • Indices and Equities
    • Commodity Curves
    • Riskless Curves
    • Spread-Curves
    • Forward Rate Volatilities
    • Forward Rate / FX Vols and Correlations for Diff Swaps
    • Equity / FX Vol Correlations Terms Structures for Quantos
  4. Compute Yield Curve Mean Reversion Rates and Volatilities for each Interest Rate Risk Factor
  5. Compute Spectral Decomposotion on Forward Rate Volatilities and Correlations (Forward Volatility Function) to provide proper Projected Reset-Risk Analysis.
  6. Check and Correct Positive Definiteness Problems of Correlation Matrices.
  7. Compute Volatilitiy of Volatilities and Correlations.


Processor

Minimum:

  • 400 megahertz (MHz) Pentium processor

Recommended:

  • 1 gigahertz (GHz) Pentium processor
Operating System

Risksvr™ can be installed on any of the following systems:

  • Microsoft Windows 2003 Server Service Pack 1 (SP1)
  • Windows XP SP2
  • Windows Vista
RAM

Minimum:

  • 256 megabytes (MB)

Recommended:

  • 2- 4 GB
Hard Disk
  •  500 MB approx 1000 Risk Factors over 10 years.
  • 1 GB approx 2000 Risk Factors over 10 years.
  • 2 GB approx 4000 Risk Factors over 10 years. etc
CD or DVD Drive Not required.
Display

Minimum:

  • 800 x 600, 256 colors

Recommended:

  • 1024 x 768 high color, 32-bit