Markit, a leading, global financial information services company, today announced it has added a range of risk and scenario analysis tools to its award-winning Portfolio Valuations service. This enables customers to receive independent Value-at-Risk (VaR) and stress testing results that are consistent with their mark-to-market valuations, allowing for compliance with international regulations.
Nigel Cairns, Managing Director and Global Head of Analytics and Portfolio Valuations at Markit, said: “A key challenge for buy-side firms is to ensure that the market data and pricing models driving their net asset valuations are consistent with those used as part of their risk calculations. The combination of Markit’s standardised cross-asset datasets with our powerful risk calculation engine enables customers to measure liquidity, funding and market risk more accurately and efficiently.”
The new tools available as part of Markit Portfolio Valuations include a Scenario Analysis service, which enables customers to stress test the market data inputs used to generate their valuations. In addition, a new Risk Analysis platform provides a fully-hosted solution for calculating the market risk within a portfolio of trades. Market risk calculations are based on Markit’s powerful and proven risk simulation engine developed in-house and used by leading global financial institutions.
Later this year, Markit Portfolio Valuations will provide a PnL attribution service that will give customers a full break-down of the change in the mark-to-market value of a trade according to various risk factors including market data, model parameters and trade events.
Industry drivers for the calculation and disclosure of VaR and stress tests results include the UCITS IV and Alternative Investment Fund Manager directives, CESR guideline 10-788, IFRS 4 and 7, and Solvency II.
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