CAfIT Ltd, the specialist Fixed Income, Derivatives and Balanced Fund software provider, has unveiled v5 of its advanced REMIA scenario, risk and stress testing system, providing fund managers with wide-ranging facilities to model projected fund and benchmark performance. Designed to assist the investment decision-making process, REMIA enables funds to be modelled under different time periods and scenarios simultaneously, modelling both fund manager's expectations and the "house" view. The v5 of REMIA incorporates the addition of currency Value at Risk (VaR), generating project currency VaR values at different confidence levels to describe the market risk of a trading portfolio. This feature helps firms to track portfolios' market risk by using historical volatility as a risk metric.
REMIA provides for diverse and complex portfolios including fixed income, derivative and equity assets with a wide range of breakdowns, accurately reflecting the investment process and providing comprehensive flexibility. It produces a full return and attribution projection that clearly highlights the sources of return, including projected attribution. A wide range of market effects can be broken into, including duration effects, level and shape effects, full curve point exposure effects, as well as spread, coupon, roll-down, convexity and specifics. REMIA also accommodates currency effect splits into active (hedge and overlay), and passive (forward and surprise) as well as different returns for the derivatives.
Designed to operate under Microsoft.NET, REMIA sits alongside CAfIT's comprehensive suite of sophisticated portfolio management solutions. This includes the recently launched innovative Analytics Engine and CAfIT's market-leading FIPA analytics portfolio management and modelling solution, which is widely deployed by leading international asset management institutions. It can be used either as a standalone risk system sitting on top of a client's own systems, or as part of CAfIT's product suite to deliver a fully integrated investment system. When used with FIPA, REMIA allows for portfolio VaR and scenario behaviour to be examined with potential trades, prior to execution.