Deutsche launches enhanced DBIQ

DEUTSCHE BANK HAS RELEASED AN enhanced version of its DBIQ analysis platform, creating what it says is the most comprehensive online risk system available to money managers. The bank has added two major components – the DBIQ Portfolio System and DBIQ Risk System. “The provision of full VAR risk analysis to our clients is a giant leap for our online services,” said Fergus Lynch, global head of index development at Deutsche Bank in London. “We can now provide our clients with the most rigorous risk analysis possible. We believe DBIQ is now the leading online risk evaluation tool for Europe.”

There are various ways of analysing risk, adds Deutsche’s Lynch, starting with a structural approach of slicing and dicing portfolios to see if risks are the same. Estimating VAR and tracking error can be undertaken either by a parametric approximation or a rigorous RAROC Monte Carlo simulation. The former has shortcomings, in that assumptions are made of how securities behave and the procedure cannot handle complex derivative trades or swaps.

The DBIQ Portfolio System allows easy analysis of the structural risks inherent in a portfolio, by allowing users to analyse and track their portfolios against their chosen benchmark. The system lets users view their holdings, generate a variety of portfolio reports and comparisons against the index. “The system will offer a breadth of products,” says Deutsche’s Lynch. “It has a robust and broad framework, is quick, flexible and considers risk in dynamic ways.”

The DBIQ Risk System presents VAR analysis through a full Monte Carlo simulation, which accounts for optionality and non-linear security risk.

“The rigorous RAROC Monte Carlo model is very computer intensive. Our parametric model will use less processing time,” says Deutsche’s Lynch, “and allow online risk analysis. In either case all clients have to do is upload their portfolios and we take care of the rest of it.”

“This is part of a three-tier risk system – structural, parametric and Monte Carlo – and we have just added the bottom and top layers. The overall DBIQ philosophy is totally transparency driven and our aim is to increase transparency around these products for our clients.”