The Optimizer Algo Risk Service Extension supports clients’ construction and analysis of optimization problem sets, allowing them to:

• Define multiple objective functions (e.g., maximize return, minimize variance, minimize tracking error, minimize regret, etc.)
• Apply global constraints (e.g., trade restrictions, bounds on group allocations and risk measures, maximum number of trades, etc.)
• Generate virtual portfolios or benchmarks containing the optimization results

Optimizer is a powerful yet cost-effective means of meeting the diverse risk and optimization requirements of multiple audiences across the enterprise, enabling clients to share optimization problem results with others in the organization who use the Algo Risk Application but who do not have access to the Optimizer Extension. Optimizer allows users throughout the organization to download optimization results to their standard Algo Risk Application environments and use its rich functionality to analyze the portfolio.

Key Benefits

Optimizer enables the solution of many specific problems faced by asset managers and owners.

This Algo Risk Service Extension:
 

• Enables production of efficient frontiers of optimal portfolios
• Generates allocation or specific trade ideas to match attributes of a benchmark or target, such as duration, and achieve various risk/return trade-off levels
• Supports construction of liquidation strategies
• Enables the replication of cash flows, from insurance or pension plan liabilities, or from other assets such as mortgage backed securities
• Supports optimization results being used to determine proxies for real estate, private equity, or other non-liquid assets

If you would like more information about Optimizer and you are an existing client with portal access, please login to Algo Risk Service Support site.

All other visitors, please contact an Algorithmics representative for more information by clicking on “Request More Information” or “Request a Meeting” button below.

Data Management enables clients to focus on their core business activities with access to all the advantages of the Algo Risk Service, while Algorithmics’ experienced professionals monitor and update changes in data feed formats, reconcile inaccurate or missing information, ensure provision of documented and auditable data trails, and manage erratic data attributes such as IDs, date formats, and company names.

Data Management represents a cost-effective data retrieval option for Algo Risk Service clients, supporting data retrieval for the managed service in one of two ways:

• Mapping directly from Custodian, Prime Broker, Hedge Fund Administration, or Order Management Systems
• Developing a mapping process to interpret a custom client feed directly into the Algo Risk Service

Data Management efficiently conserves client resources and minimizes costs by having Algo Risk Service professionals, utilizing a robust data management and attribution infrastructure, take on responsibility for onerous data management tasks.

Key Benefits

Data Management presents a number of key benefits to clients of the Algo Risk Service. This Algo Risk Service Extension:

• Simplifies the Algo Risk Service client experience, saving clients’ time, money, and resources
• Ensures accurate and efficient production of input files for the risk system
• Enables rapid and efficient start-up, with integrated data models and flexibility that allow seamless integration to Custodian data feeds
• Supports ongoing management of erratic data attributes such as IDs, date formats and company names, as well as continual monitoring and updating of data feed format changes
• Supports the focus of client resources on core risk management responsibilities, with Algo Risk Service professionals taking on responsibility for data retrieval and management for input into the Algo Risk Service

If you would like more information about Data Management and you are an existing client with portal access, please login to Algo Risk Service Support site.

All other visitors, please contact an Algorithmics representative for more information by clicking on “Request More Information” or “Request a Meeting” button below.

The Custom Scenarios extension enables scenario creation and analysis under two broad categories, depending upon the unique requirements of each client:

• Stress Test Scenarios, or any form of user-defined scenario, can be dictated by the client or developed jointly with Algo Risk Service Professionals. Diverse client requirements are supported by scenarios covering a wide spectrum of possibilities, including:
  • Conditional scenarios, such as moving the price of oil to determine the portfolio’s sensitivity to this movement (even though there is no direct exposure)
  • Building libraries of different yield curve movements
  • Single name stress tests across different product types associated to that name
• Statistical Scenarios, Historical or Monte Carlo, are typically used by clients for VaR. These scenarios are developed with a flexible and sophisticated functionality that supports:
  • Changing the methodology of scenario generation
  • Increasing the number of scenarios or time steps
  • Extending the amount of historical data used for scenario generation
  • Specifying interest rate models, or index movement parameters
  • Changing look back periods or decay factors, segmenting risk factors (i.e., Monte Carlo Interest Rate only scenarios), or using different scenario weighting schemes

Key Benefits

Custom Scenarios present a number of key benefits to clients of the Algo Risk Service, including:

• Enabling access to the powerful and advanced functionality of the Algo Scenario Engine for the generation of customized scenarios
• Offering custom scenarios designed to reflect the true risk profile and unique portfolio of each client
• Supporting accurate determination of relevant scenarios with advice from experienced Algo Risk Service professionals

If you would like more information about Custom Scenarios and you are an existing client with portal access, please login to Algo Risk Service Support site.

All other visitors, please contact an Algorithmics representative for more information by clicking on “Request More Information” or “Request a Meeting” button below.

This Algo Risk Service Extension will work from specific credit scenarios, enabling clients to dissect the portfolio into specific views of credit exposure to counterparties. Counterparty Credit Exposure is configured to run on a subset of an overall portfolio (OTC transactions), with this smaller set of securities being simulated across more scenarios and longer time horizons to determine robust Potential Future Exposures. Risk analytics will be calculated monthly.

Key Benefits

Counterparty Credit Exposure presents a wide range of advantages to subscribers. This Algo Risk Service Extension:

• Offers clients access to Algorithmics’ RiskWatch analytic engine and the powerful Algo Scenario Engine
• Offers additional aggregations to allow for the creation of specific credit views
• Provides market and credit views within the same application, including "what-if" access to changes in portfolio composition and capability to view the impact on both market and credit exposure
• Maximizes efficiencies, as the Extension’s consistent data framework with the market risk system means that minimal additional input information is required
• Introduces a new set of output attributes specifically designed for the Credit Exposure Extension, such as Margin Threshold and Net Peak Exposure
• Allows clients to address key credit exposure issues, including:
  • Identifying where large exposures exist in the firm, across counterparties by region and fund, and how overnight changes may affect those exposures
  • Determining how large potential losses are due to credit exposures
  • Assessing the effectiveness of credit mitigation techniques and if there is additional facility to trade with a counterparty
  • Determining where and when the potential collateral will need to be called
  • Monitoring and setting credit exposure limits and reporting on exposure profiles through time and on different tenors
  • Viewing the impact of particular stress tests on the credit exposure
  • Supporting what-if analyses, such as changing netting agreements on the fly, to view the impact on credit exposure outputs

If you would like more information about Counterparty Credit Exposure and you are an existing client with portal access, please login to Algo Risk Service Support site.

All other visitors, please contact an Algorithmics representative for more information by clicking on “Request More Information” or “Request a Meeting” button below.

Advanced Reporting supports publication of reports in the widely-accessible PDF format. The following is an illustration of one of many reporting option formats available:

Key Benefits

Advanced Reporting offers a number of benefits to clients of the Algo Risk Service. This Algo Risk Service Extension:

• Supports production of high-quality reports in large volumes, for distribution to a diverse audience in widely-accessible formats such as PDF
• Enables clients to improve the clarity and transparency of risk reports by tailoring these to meet the needs of different internal and external customers, including senior managers, investors and regulators
• Enables clients to configure the time and frequency of reporting, with the option to brand reports for clients and key stakeholders

If you would like more information about Advanced Reporting and you are an existing client with portal access, please login to Algo Risk Service Support site.

All other visitors, please contact an Algorithmics representative for more information by clicking on “Request More Information” or “Request a Meeting” button below.

Intra-Day Processing allows clients to incrementally process newly-created positions, or to schedule polling of the upload site for data for immediate processing throughout the day. This Extension offers clients of the Algo Risk Service the critical advantage of enhanced intra-day updates of portfolios and risk profiles.

Key Benefits

Intra-Day Processing offer clients a number of key market advantages. This Algo Risk Service Extension:

• Enables rapid, intra-day response to changes in the risk profile of a firm or portfolio, which is a fundamental need in today’s global markets characterized by sustained volatility
• Accommodates portfolio reconciliation with its incremental process accounting for changes in the “grace period” after books are closed
• Supports a global portfolio that may require analyzing risk in various regions, across North America, Europe and Asia, as financial market data becomes available at different times throughout the day
• Supports the addition of new instruments at any time

If you would like more information about Intra-Day Processing and you are an existing client with portal access, please login to Algo Risk Service Support site.

All other visitors, please contact an Algorithmics representative for more information by clicking on “Request More Information” or “Request a Meeting” button below.

Algo Risk Service offers clients standard storage of previous batch sessions as per the following schedule:

• Daily sessions for the current week (i.e. the most recent 5 business days)
• Weekly sessions for the current month (i.e. the most recent 4 Fridays; if a Friday is not a business day, then the prior Thursday is used)
• Monthly session from the last business day of the previous month

Key Benefits

Additional Data Archival offers clients several key benefits to subscribers. This Algo Risk Service Extension:

• Supports meeting regulatory or internal policy requirements for particular periods of data storage
• Offers clients the security of safe additional data storage, over periods customized to their unique needs, with the option of efficient retrieval at any time

If you would like more information about Additional Data Archival and you are an existing client with portal access, please login to Algo Risk Service Support site.

All other visitors, please contact an Algorithmics representative for more information by clicking on “Request More Information” or “Request a Meeting” button below.

Key Benefits

Advisory Services presents a number of enhanced benefits to clients of the Algo Risk Service, including:

• Providing clients access to the knowledge and experience of Algorithmics’ industry leading risk practitioners and financial engineers
• Offering close consultation with Algorithmics’ professionals to support the optimal integration of the Algo Risk Service with a firm’s organizational culture, processes, and business needs
• Providing partnership level discussions on using the Algo Risk Service to fulfill current business requirements, while taking into account emerging lines of business and/or new functional requirements
• Providing advice and assistance for Executive, Regulatory, and Investor level reporting

If you would like more information about Advisory Services and you are an existing client with portal access, please login to Algo Risk Service Support site.

All other visitors, please contact an Algorithmics representative for more information by clicking on “Request More Information” or “Request a Meeting” button below.

Portfolios are increasingly viewed and assessed by risk factor classification, which seeks to separate and identify the particular risk factors that drive a manager’s investment process and provide more transparency within the decision making process. Identifying the source of risk at the risk factor level is important for portfolio construction and optimization (capital allocation), hedging risk and performance measurement. Asset class returns are driven by their exposure and sensitivity to underlying risk factors and subsequent portfolio risk and returns are grounded in underlying risk factor combinations.

Key features include:

• Complete multi-period, ex ante risk factor attribution
• Extensive risk factor coverage – interest rates, exchange rates, spread rates (each term-node is a risk factor), market indices, inflation, commodities
• Full “on-the-fly” aggregation and drill-down capability, providing users with the ability to analyze results across multiple levels and in line with their investment approach
• Provides an array of absolute & relative risk analytics for risk factor attribution based on Monte Carlo, historical and stress scenarios
• Full limit management on risk factor class level
• Full absolute and relative risk factor exposure analyses

Key Benefits

This multi-period, ex-ante risk factor attribution extension provides users with the option to transpose portfolio asset values into portfolio risk factor values, and measure the future level of portfolio risk by applying an extensive set of supported, absolute, and relative risk analytics to stochastic distributions calculated using Monte Carlo simulation or Historical interpolation. Risk measures can be aggregated across multiple dimensions to follow the investment decisions process, and provide full drill down capabilities to different levels of detail. All of this is done in real time, within the existing Algo Risk Service web interface.

Risk Factor Attribution extension is designed to provide answers to questions like:

• What is my current portfolio exposure to key risk factor drivers (i.e. long term treasury rates, commodity prices, international markets etc.), and what would be the impact of changes in exposure, risk factor levels or volatility?
• Which risk factors contribute the most to portfolio risk and return, and is it consistent with investment decisions and capital allocation?
• Is my portfolio truly diversified based on the underlying risk factor exposure?
• Are de-risking portfolio strategies working as intended?
• How does the portfolio model benchmark change under different market conditions?

For example, an institutional investor deciding to seek long-term real growth with a preference for 50% capital allocation to equities, with the balance being invested in hedge funds, private equity, high-yield bonds, and similar, will end up with a significantly higher (more than 50%) portfolio equity risk and return exposure. The diversification benefits of holding multi-asset classes will also be less than expected when these are looked at from a risk factor perspective. Traditional asset class specifications (equities, alternatives, bonds, etc) share common underlying risk factors, and these factors are the truly distinct component to be used within capital allocation, risk allocation, risk monitoring and performance measurement. Correlations across asset classes are much higher than between risk factors, as experienced during periods of market turmoil, and an assessment of the underlying risk factors can help determine whether the portfolio is in fact as diversified as it appears. The realization of higher equity exposure than expected, within seemingly well diversified portfolios during market turmoil, could end in significant portfolio losses and breaches of risk budgets.

If you would like more information about Risk Factor Attribution and you are an existing client with portal access, please login to Algo Risk Service Support site.

All other visitors, please contact an Algorithmics representative for more information by clicking on “Request More Information” or “Request a Meeting” button below.