Toronto-based Algorithmics and Bloomberg released a new version of Algo Risk, a market and trading risk solution, at Algorithmics' annual user conference being held in Boston, Massachusetts this week.The new release, Algo Risk 1.5, features advanced analytics and flexibility, and is available over the Bloomberg Professional service. The enhancements include tracking error decomposition, where users can identify an individual factor's contribution to tracking error. For instance, the new service measures how a portfolio, sector, region or maturity affects tracking error and identifies trading strategies with the smallest inputs.
Other analytic advances allow for unit changes to relative risk measurements and weight changes for absolute risk. The service also includes analytic duration as well as spread duration analytical reports that identify active duration, active spread durations and active yields. Users can also analyse the various levels of a portfolio using different benchmarks rather than marking the portfolio to only one measure.
“The facility to customise is the main strength of the new version,” said Benoit Fleury, director of Algo-Bloomberg Solutions at Algorithmics. “We do not want to impose our view, but want to make it easy for users to create their own views of the information,” he said.
Users can now customise how they aggregate and view data, whether by maturity dates, durations, exposures or market capitalisation. The solution also allows users to create and apply formulas.
“The emphasis is to continue to bring back-office information and functionality to the front office,” making the tool attractive to both traders and risk management professionals, said Fleury.
More on Technology
Sponsored feature: Northern Trust
Off-the-shelf energy trading and risk management (ETRM) systems are more popular than ever before, according to Energy Risk’s annual software survey. However, companies say they still require sig...
Structured Products Technology Rankings 2014
Change from above
Sign up for Risk.net email alerts
Nominated for two technology awards
Nominated for post trade technology award
Sponsored webinar: Collateral and counterparty tracking
Isda directors warn on fragmentation, access and liquidity - but expect problems to pass
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.