IBM has an integrated risk management and modelling framework that can attribute risk to an individual security or aggregate risk to a level such as total portfolio. The primary goal is to help risk managers and investment managers answer the question of what will be the value of their portfolio at some future time horizon and what is driving this valuation. These questions can be answered by developing scenarios on the risk factors driving the pricing models of the securities – both public and private – in the portfolio. The scenarios on the risk factors can be correlated or non-correlated.
Using this framework, IBM can provide detailed insight into the risk of public investments, allowing for a detailed decomposition of the risk of these asset classes along many different parameters. However, for private market investments such as private equity, real estate, land, infrastructure, etc. the data and valuation frequencies tend to be significantly different to those in the public market. Therefore, careful analysis and research work is required to properly select a meaningful model.