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.
The week on Risk.net, November 25-December 1, 2016Receive this by email