PAM Risk Management

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

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

Automation and Speed

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

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.

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.

Selected References

Insular Life

Princeton Financial Systems' experience in providing solutions for the insurance industry was a key factor in our decision. We selected PAM due to its superior accounting functionality and the efficiencies it will bring to our organization.
By automating the investment
and accounting process we will improve our operations and reduce costs.

Insular Life Press Release

World-Class Risk Model