As the recent and on-going liquidity crisis has dramatically highlighted, risk control and management is vital to asset managers. The launch of UCITS III in 2004 was the first step toward risk analysis, but more needs to be done. Tighter control of local regulators is anticipated, in addition to a generalisation of Value at Risk as a core statistic to evaluate portfolios’ absolute and relative risk.
Following its strategy to continuously enhance its product suite in line with industry
advancements, StatPro, a leading provider of analytics and data for the asset
management industry, is pleased to announce the launch of the new version of the
StatPro Risk Management system (SRM v 5.0). SRM v 5.0 allows users to produce a richer analysis of market and credit risk at all levels in the asset management firm. A brand new user interface gives more flexibility, whilst the introduction of charts allows users to better visualize their risk. Approximately 1000 ‘stress tests’ and sensitivity scenarios have been generated in order to analyse risk under a large variety of potentially extreme market conditions.
SRM v 5.0 builds upon the new credit model, incorporating credit event risk inside the StatPro Simulation Model. By reading current implicit default probabilities and recovery rates from CDS curves, the StatPro Simulation Model regenerates the expected distributions of return on a daily basis, incorporating the most recent market information from the credit market. The model will soon be extended to ABS and CMBS to dynamically reflect the market conditions of these issues.
Dario Cintioli, Global Head of Risk, StatPro Group plc, notes, “The market turmoil
reinforces the need for strong risk management tools built upon Value at Risk and
portfolio sensitivity analysis. The quality of our integrated market and credit risk model, even in volatile markets, is the main value of SRM v 5.0.”
Frédéric Bardoux, Product Strategy Director, StatPro Group plc, comments, “We
anticipate strong interest from Risk Managers for this new product version. Our clients have been demanding better solutions for their risk management needs for some time and the launch of StatPro Risk Management v 5.0 demonstrates how we can harness our expertise for the benefit of our clients.”
StatPro Risk Management v 5.0 is fully compatible with all performance and reporting modules within the StatPro suite. and the launch of StatPro Risk Management v 5.0 demonstrates how we can harness our expertise for the benefit of our clients.”
StatPro Risk Management v 5.0 is fully compatible with all performance and reporting modules within the StatPro suite.