The latest release of SimCorp’s investment management system, TMS2000, version 2.8 has enhanced front and middle office functionality. Some of the new features of the system include: bond calculator with risk factor analysis, MontCarlo value at risk, fixed income performance attribution, FAS133 hedge accounting, price provider XML feed and a new instrument: covered warrants.
Version 2.8 has also significantly enhanced the systems already powerful straight through processing functionality by enabling it to increase its throughput to an average of 20,000 transactions a day, without human intervention. With this increase, TMS2000 can process trades from high volume sources such as retail web-based applications.
In the front office the bond calculator with risk factor analysis establishes an environment, which is divided into three layers in order to support large heterogeneous portfolios and instrument specific analyses. The analysis principle serves the different needs of different users and allows direct jumping from one analysis type to another. The three tiers supported by this new feature are: position analysis, risk factor analysis and instrument calculator. Easy to use, it provides an overview, transparency, static data simulation and supports large data volumes.
Monte Carlo value at risk is now supported by TMS2000. Like other approaches to value at risk, this provides a measure of the maximum amount of money that may be lost with a given probability and time-horizon. However, this extended method loosens the assumptions about linear price functions and normality. Monte Carlo enables the computer to simulate possible future scenarios for the risk factor and then re-price the portfolio in each scenario. This leads to a histogram for the portfolio values that is interpreted as a distribution and the value at risk can then be found as a fractile.
Further information about the enhancements to TMS2000 is available from SimCorp, Park House, Monument
Hill, Weybridge, Surrey KT13 8RT.
Phone: 01932 836700 Fax: 01932 841252