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version 3.6 changes:
1] Multiple Dimensions.
You can now run multiple analytics which can then be processed in parallel (compare, perform operations, etc)
This can be down with a database back-end or directly from the kernel if you have no intention of storring intermediate results.
This feature eases the pain out of advanced report generation and is
completely transparent to the average user.
Previously you could only perform this kind of analysis by storing results
in the database's reports tables and then subsequently running a stored procedures to process data between reports.
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Currently, licensed users create a group of Analytics and or realms whch are then run in sequence,
This actually opens the door to higher order market, credit, model amnd liquidity risk analytics.
2] Revalued Dynamic Collateral
You can still define collateral as a 'static' cash amount, but you can also
define a cash-account with interest and haircut fees, or as a risk-weighted portfolio (one or more trades
that are revalued at each run of each trajectory). This change impacts
both Junior and Senior collateral posted by Counterparties/Underwriters//Home offices.
3] Multiple layers of Default in both Counterparty and Obligor Credit Risk.
The Credit and Default engine has been revanmped to
handle multiple layers of default.
that can now be
consolidated according to your own rules or policies.
This change separates Issuer Related Credit Risk stemming from
Credit Sensitive Asset valuation and Counterparty bankruptcy. Which often tend to be aggregated
You can define which methodology (Correlated or Independant Defaults, Migration or Copula Based Time-To-Default
will apply to Counterparty and Asset Default simulation seperately. This low level kernel change allows you to choose one methodology for credit sensitive assets (loans, bonds, cds's or cdos)
and another for counterparty default losses.
4] Extension Continuous Vs Discrete Default Assumptions
Default simulation has been split into two completely separate set
of routines based on continuous or discrete assumptions. Results are
identical for short dated simulation horizons, but tend to differ for
simulation horizons above two year. Interestingly this also applies for the Default Methodologies: Time-to-Default and Default Mode
converge as the time-steps on the simulation horizon finite grid become smaller!
5] Generic Atomic Flows and Assets of Weighted Assets.
The Master Asset class has been redesigned to handle assets as Weights of Other Assets.
This means you can define
baskets of assets as new underlying assets For example you can
create a New currency from a weight of other currencies or a
mixture of assets.
6] Intelligent Tags.
Portfolio Management has been extended to include
multiple measure of relative Risk through tags aggregation.
Advanced user can now attach formulas to Tagged value
accumulation.
7] Assets and Liabilities for FundVar integration
Assets and Liabilities can be tracked separately, even when
positions are netted.
his feature was specifically designed to
integrate FundVar as a pluggable module for any
portfolio or group of portfolios..
8] 3D Risk Visualization.
New 3D Reports are available for
Internet Explorer users.
Note: the Risksvr 3D engine requires a 3D visualization
Active-X that displays data in 3 dimensions. For your security,
this Active-X comes with a Verisign authentication certificate
that ensures this executable is completely secure.
Financial-Risk-Manager Changes:
The Position Manager module interface has been redesigned to
offer more ease of use, power and interactivity through multiple Ajax
modules.
Interface Changes: Ajax, Calendars, Dimension Tag Trees
and Dynamic Grids
1] Calendar Date Picker and Shortcuts:
Date Lists have been replaced with calendar date pickers, manual input and shortcuts
for absolute and relative dates. (i.e. 3M, 10y, 360D, 1w, etc). See date
entry.
2] Real-time prices display in trade entry screen via AJAX:
Market Prices are now displayed dynamically in the trade entry screen with
Ajax.
This replaces the previous approach that populated missing prices from the
database.
3] Asset Terms and conditions:
Yield curves, Reference Indices are now synchronized automatically according
the asset's currency default base curve.
4] Derived Prices and Values:
When no real-time values are available, coupons, forward and future prices
are computed from real-time curves and derived prices obtained through Ajax.
5] On-The-Fly Implied Volatility, Average and or Compounded
Coupon and last reset rates.
Implied Volatility, Average To date (for path dependant options), Averaging
and or Compounding can be
computed via Ajax requests. Ajax now offers a series of advanced tools
directly integrated
into the trade entry screen!
This means you can compute historical or
implied volatility, averaging prices from data history or perform other
resource intensive calculations on the fly.
6] Risk Tags and Dimensions:
Risk Dimensions and Tags are now displayed as a tree-like structure.
Tags are now associated with your trade by simple drag and drop.
i.e. you associate a tag by dragging from the Dimension Tag tree into the
postion's tree. You remove the tag from the position's tree by dragging the
tag outside the tag tree container.
Other Client Side Enhancements:
Reports can now be defined by dragging and dropping Risk Dimensions.
An Ajax grid has been integrated into the Credit module to allow copy
paste and drag & drop between spreadsheets and
Financial-Risk-Manager.
This change greatly simplifies testing, integration and simulation as
credit curves, countries definitions, transition matrices or obligor
correlations can be copied directly from your favorite spreadssheet.
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