PAM Risk Management

World-Class Risk Model

With increasing regulations, investment professionals, regulatory authorities and investors now all require portfolio risk information. The risk model must provide forward-looking (ex-ante) risk estimates at security and portfolio level, with a variety of risk measures available for analysis.

An effective risk management system is essential to the practice of fund management. Princeton Financial Systems provides a world-class risk model covering all asset classes and markets, available in a web-based technology.

The new PAM Risk Management powered by StatPro® provides all this capability within a single system, enabling a wide variety of portfolio risk analysis to be created on an automated basis. Underlying PAM Risk Management is a world-class risk model - updated daily - that provides very broad coverage of global markets, backed by an expert team of quantitative analysts.

PAM Risk Management Highlights

  • Comprehensive Coverage of Global Assets, covering the following asset classes: Fixed Income, Equity, Funds, Currencies, Commodities, Simple and Complex Derivatives, OTCs, Structured Products
  • Single Integrated Framework capturing the complex relations among market risks, default risk and default correlation risk
  • Daily Security Risk Profile Update, using StatPro Data Services
  • Multiple Ex-Ante Risk Measures including Value-at-Risk and CVaR (Expected Shortfall), at a variety of confidence levels, Potential Gain, Volatility, Tracking Error and Diversification Grade
  • Complete UCITS III Risk Reporting Service to ensure compliance with UCITS III risk regulations in Europe

Risk Decomposition

  • Portfolio risk decomposed by security or asset class to identify all sources of risk
  • Marginal risk analysis on multiple risk measures, up to security level
  • Risk decomposition and performance attribution on the same attributes
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Stress Testing, Sensitivity Analysis, Simulation, Back Testing

  • Compute the sensitivity against any risk factor, in absolute, relative terms or against liabilities, at any aggregation level
  • Stress test any portfolio against a wide range of possible scenarios
  • Simulate trades and make informed decisions based on risk variance
  • Perform Back Testing, constantly monitoring the reliability of the Model
  • Assign absolute or relative VaR limits on your portfolios or aggregation of portfolios and be informed of any breach
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Automation and Speed

  • Full automation of risk analysis and reporting
  • Process thousands of portfolios every day

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The Use of QuantLib as a World-Class Library

  • StatPro is the main contributor of QuantLib, the Open Source Library created by the StatPro professionals in 2000. The pricing engine of StatPro, QuantKit, is built around QuantLib, extending the set of models and pricing functions.
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Check Out Related Investment Accounting Solutions

PAM for Securities
PAM for Mortgages
PAM for Bank Loans
PAM for UVT
Hosted Investment Accounting - ePAM
PAM Architecture
PAM Composites
PAM Performance and Attribution
PAM Risk Management

If you have further questions, please do not hesitate to email us or simply call your local office.

 

Ausgewählte Referenzen