The latest version of Algo Risk offers fixed income managers and traders enhanced risk measurement capabilities from expanded key rate duration and key spread duration reports, to properly isolate and quantify interest rates risks. Similarly, equity managers and traders can simulate their portfolios through a variety of country and sector shocks powered by a sophisticated multi-factor model. More importantly, users can proactively manage risk through 'what-if' analysis in real-time, and monitor their specific, user-defined limits with a fully embedded limit monitoring system. These unique features allow users to calculate their risk exposure in real-time and provide a solid platform for fully risk-informed business decisions.
âAlgo Risk is the first market-ready risk management system that enables the presentation of insightful risk information to all key decision makers through a financial institution,â said Michael Zerbs, Chief Operating Officer at Algorithmics. âThis latest version offers enhanced coverage and functionality, and continues to bridge the gap between the front and middle office, and between portfolio managers and investment officers, through dynamic, customizable risk reports, available on-demand.â
Algo Risk covers a variety of instrument classes including futures, forwards, swaps, callable/puttable/convertible bonds together with more traditional product types such as government and corporate bonds, equities and currencies. Altogether, Algo Risk simulates over 250,000 instruments every day under thousands of historical, Monte-Carlo and stress-test scenarios.
Through Algo Risk, risk and portfolio managers alike can generate a number of advanced risk reports ranging from stress-tests, to value-at-risk, and tracking error. Algorithmics' advanced analytics and distributed processing technology has been fully integrated into Bloomberg's reliable, 24/7/365 infrastructure. As such, the combined system leverages the secure, high performance Bloomberg network to deliver real-time, interactive risk reporting.
Algo Risk is a key product resulting from a strategic development partnership between Algorithmics and Bloomberg established to deliver advanced risk management functionalities to the buy- and sell-side investment professionals. The new version of Algo Risk follows an extensive period of testing and consultation with a number of development customers.