Market Risk – Buy-side Perspective

Managing and mitigating exposure to market risk

It has become far more common to invest across borders and asset classes, particularly when diversifying into more complex strategies and derivative products. The challenge is that it gets harder to monitor market risk and to be totally transparent at the level of portfolio risk exposure. Evaluating the impact of market movements with respect to investment decisions is a real challenge in the investment management industry, but it's vital to keeping investors' confidence. It has become increasingly clear during the recent financial turmoil that expert risk management systems are essential.

Sophis has worked for more than 20 years in the risk management space in capital markets. Risk management has always been at the heart of our VALUE portfolio management application. This means that all Sophis VALUE users benefit from native and critical risk management functionality at all points of the investment process – and can understand their risk exposure at all times as well as control their investments.

Key benefits

• Full range of risk analytics and scenarios available in an integrated front to back office platform for portfolio managers, risk managers, compliance officers and CIO
• Dedicated risk managers' environment and exceptionally flexible and user-friendly GUI producing daily key risk indicators for ex-post analysis and all types of breakdown report views
• Wide integrated reporting capabilities allow automating the reporting process for senior management
• Versatile dynamic stress tests open to customisation
• Ex-ante tracking error volatility measurement and breakdown
• What if analysis, worst case scenarios
• IR breakdown analysis, forex analysis
• Real time consolidation of results and risks by any criteria: position, portfolio, underlying, sector, currency, etc...
• Greeks and sensitivity drill-down through multiple analysis dimensions
• Detailed result decomposition analysis on market data, Greeks, transaction and day effects, outlining the main contributing positions to the result variation
• Historical, Monte Carlo, Parametric VaR. Relative and marginal VaR calculation. Back testing capability
• Scenario calculation using full revaluation or Taylor expansion. Breakdown of VaR by risk factor using Taylor expansion
• Scalable risk calculation and scenarios in a grid computing environment
• Risk monitoring workflow through tasks scheduling (ex: portfolio greek reports, VaR, stress tests)

Learn more about our asset class coverage