paragon reporting package 2018 - klarity risk · figure 22 : the report compares any selected...

PARAGON REPORTING PACKAGE 2018

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Contents Contents ......................................................................................................................................................................................................................... 1

I. Parametric Methodology ....................................................................................................................................................................................... 4

A. System Screens .................................................................................................................................................................................................. 4

1. Portfolio Parametric Value at Risk ................................................................................................................................................................. 4

2. Portfolio Parametric Value at Risk Sample Bar Chart .................................................................................................................................... 5

3. Portfolio Positions .......................................................................................................................................................................................... 6

4. Portfolio Positions Sample Bar Chart ............................................................................................................................................................. 7

5. Portfolio Group Positions ............................................................................................................................................................................... 8

6. Portfolio Group Parametric Value At Risk ...................................................................................................................................................... 9

7. Portfolio Group Positions ............................................................................................................................................................................. 10

B. Reports ............................................................................................................................................................................................................. 11

1. Portfolio Group Value at Risk with Threshold.............................................................................................................................................. 11

2. Portfolio Group Value at Risk percentage of its Market Value .................................................................................................................... 12

3. Portfolio Group Value at Risk percentage of its Market Value detail .......................................................................................................... 12

II. Monte Carlo Simulation ....................................................................................................................................................................................... 13

A. System Screens ................................................................................................................................................................................................ 13

1. Portfolio Group Monte Carlo Simulation Value at Risk ............................................................................................................................... 13

2. Portfolio Group Monte Carlo Simulation Value at Risk Bar Chart ............................................................................................................... 14

3. Portfolio Monte Carlo Simulation Value at Risk .......................................................................................................................................... 15

4. Monte Carlo Simulation Sample SSRS Bar Chart.......................................................................................................................................... 16

5. Monte Carlo Simulation Histogram ............................................................................................................................................................. 17

6. Portfolio Risk decomposition ....................................................................................................................................................................... 18

7. Portfolio Risk Decomposition Charting ........................................................................................................................................................ 19

8. Portfolio Decomposition Drill In .................................................................................................................................................................. 20

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9. Risk Decomposition sample Pie Chart ......................................................................................................................................................... 21

10. Portfolio Group Histogram Report ........................................................................................................................................................... 22

B. Reports ............................................................................................................................................................................................................. 23



3. Portfolio Risk Decomposition by holdings ................................................................................................................................................... 24

4. Portfolio Risk Decomposition grouping ....................................................................................................................................................... 26

5. Issuer Report ................................................................................................................................................................................................ 27

6. Aggregated Delta Report ............................................................................................................................................................................. 28

7. Histogram of Returns ................................................................................................................................................................................... 29

8. Portfolio Marginal Value at Risk .................................................................................................................................................................. 30

9. Portfolio Bar Chart ....................................................................................................................................................................................... 31

10. What if Portfolio Decomposition Analysis ............................................................................................................................................... 32

11. What if Portfolio Decomposition Analysis Bar Chart ............................................................................................................................... 33

III. Historical Simulation ........................................................................................................................................................................................ 34

A. System Screens ................................................................................................................................................................................................ 34

1. Portfolio Histogram ...................................................................................................................................................................................... 34

2. Portfolio Historical Simulation Value at Risk ............................................................................................................................................... 35

3. Portfolio Market Value Bar Chart ................................................................................................................................................................ 36

4. Portfolio Group Historical Simulation Value at Risk .................................................................................................................................... 37

5. Portfolio Group Histogram Report ............................................................................................................................................................... 38

A. Reports ............................................................................................................................................................................................................. 39



3. Histogram of Returns ................................................................................................................................................................................... 40

4. Draw-down Report ....................................................................................................................................................................................... 41

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5. Moments & Extra Portfolio Metrics ............................................................................................................................................................. 42

6. CDaR Historical Simulation........................................................................................................................................................................... 43

7. CDaR Historical Simulation variation with Greeks ....................................................................................................................................... 44

IV. Other Reports................................................................................................................................................................................................... 45

1. Stress Testing Report ................................................................................................................................................................................... 45

2. Stress Testing Yield Curve Effect .................................................................................................................................................................. 46

3. Stress Testing Per Asset Effect ..................................................................................................................................................................... 47

4. Stress Testing Original vs Stressed Market Value ........................................................................................................................................ 48

5. Back Testing Report ..................................................................................................................................................................................... 49

6. Back testing screen ...................................................................................................................................................................................... 50

7. Back Testing Chart ........................................................................................................................................................................................ 51

8. Portfolio group threshold alert .................................................................................................................................................................... 52

9. Portfolio group threshold alert with variable boundary .............................................................................................................................. 53

10. Portfolio Group vs Threshold ................................................................................................................................................................... 54

11. Coupon projection per currency and overview ....................................................................................................................................... 55

12. Top 10 volatilities in portfolio holdings ................................................................................................................................................... 56

13. Portfolio holdings component VaR vs Weights spider chart ................................................................................................................... 57

14. Portfolio vs Benchmark weights .............................................................................................................................................................. 58

15. Price Variations Lookup ........................................................................................................................................................................... 59

V. Additional Reports ............................................................................................................................................................................................... 60

1. UCITS contribution ....................................................................................................................................................................................... 60

2. Basel Report ................................................................................................................................................................................................. 61

3. MiFid Model Tracker Report ........................................................................................................................................................................ 62

About KlarityRisk ...................................................................................................................................................................................................... 63

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I. Parametric Methodology

A. System Screens

1. Portfolio Parametric Value at Risk

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2. Portfolio Parametric Value at Risk Sample Bar Chart

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3. Portfolio Positions

Figure 1 : Paragon calculates the positions by repricing the non-linear instruments.

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4. Portfolio Positions Sample Bar Chart

Figure 2 : Paragon reporting is based on SSRS that it is easy to customize t it according to your preference.

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5. Portfolio Group Positions

Figure 3 : Most reports can be run also for groups and consolidated portfolios or funds.

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6. Portfolio Group Parametric Value At Risk

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7. Portfolio Group Positions

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B.Reports

1. Portfolio Group Value at Risk with Threshold

Figure 4 : This report/dashboards shows the portfolio outcome VaR for a group of portfolios together with their respective

thresholds. Available for all methodologies in the system.

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2. Portfolio Group Value at Risk percentage of its Market Value

Figure 5 : Available for all the supported methodologies.

3. Portfolio Group Value at Risk percentage of its Market Value detail

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II. Monte Carlo Simulation

A. System Screens

1. Portfolio Group Monte Carlo Simulation Value at Risk

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2. Portfolio Group Monte Carlo Simulation Value at Risk Bar Chart

Figure 6 :Group Positions Bar Chart, also available for Group Positions, VaR/Market Value, Expected Shortfall /Market Value,

Relative VaR/Market Value.

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3. Portfolio Monte Carlo Simulation Value at Risk

Figure 7 : Grouping Available in all classifications such as Asset Class, Risk Country, Sector, Group, Type etc.

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4. Monte Carlo Simulation Sample SSRS Bar Chart

Figure 8 : Top 10 Positions Bar Chart

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5. Monte Carlo Simulation Histogram

Figure 9 : Portfolio return distribution, also available in percentage.

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6. Portfolio Risk decomposition

Figure 10 : Portfolio Decomposition by holdings system screen

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7. Portfolio Risk Decomposition Charting

Figure 11 : Portfolio Top 10 Component Value at Risk Bar Chart. Also available Marginal VaR Bar Chart, Component VaR Pie Chart

and Positions Bar Chart.

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8. Portfolio Decomposition Drill In

Figure 12 : Grouping Risk by all available classifications in the system is done on done on the fly. Available standard classifications

such as Asset Class, Group, Sector, Type but also calculated ones.

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9. Risk Decomposition sample Pie Chart

Figure 13 : Portfolio Component Value at Risk Pie Chart

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10. Portfolio Group Histogram Report

Figure 14 : Shows the return distribution of multiple portfolios in a group. Portfolio Histogram

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B.Reports



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3. Portfolio Risk Decomposition by holdings

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Figure 15 : Portfolio Risk decomposition analytics report with configurable bar chart.

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4. Portfolio Risk Decomposition grouping

Figure 16 : Available groupings are Swap Matching, Asset Class, Region, Risk Factor, Moody`s Rating, S&P Rating, Fitch Rating, Risk

Country, Security Type, Industry Sector, Capitalization, Industry Group, Issuer.

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5. Issuer Report

Figure 17 : This report is available for all methodologies in the system.

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6. Aggregated Delta Report

Figure 18 : Report available for Monte Carlo, Historical and Stress Testing. The report groups portfolios Delta values using different

various instrument classifications.

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7. Histogram of Returns

Figure 19 : The histogram of returns represents the frequency each return value has be appeared within the selected timeframe.

The report can be run for both Monte Carlo and Historical as a percentage or absolute value.

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8. Portfolio Marginal Value at Risk

Figure 20 : Two different views of the portfolio Marginal Value at Risk calculations.

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9. Portfolio Bar Chart

Figure 21 : Top 10 positions (top) and top 10 Component Value at Risk (bottom)

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10. What if Portfolio Decomposition Analysis

Figure 22 : The report compares any selected portfolio values with another portfolio or its corresponding what if portfolio. The

holdings can be grouped for all the available system classifications, and the report can be run in Monte Carlo only.

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11. What if Portfolio Decomposition Analysis Bar Chart

Figure 23 : Twin Bar Charts showing Component VaR and Marginal of each portfolio with their respective what if.

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III. Historical Simulation

A. System Screens

1. Portfolio Histogram

Figure 24 : Shows the true portfolio distribution of returns, also available in percentage.

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2. Portfolio Historical Simulation Value at Risk

Figure 25 : Grouping available in all classifications such as Asset Class, Group and Sector

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3. Portfolio Market Value Bar Chart

Figure 26 : Portfolio Top 10 Positions in terms of Market Value

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4. Portfolio Group Historical Simulation Value at Risk

Figure 27 : Available columns are beta, Vega and portfolio Duration.

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5. Portfolio Group Histogram Report

Figure 28 : Available columns are Rho, Theta, Duration, Vega, FX delta, Equity Delta.

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A. Reports



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3. Histogram of Returns

Figure 29 : The histogram of returns represents the frequency each return value has be appeared within the selected timeframe.

The report can be run for both Monte Carlo and Historical as a percentage or absolute value.

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4. Draw-down Report

Figure 30 : This shows the portfolio returns over time, the largest drop in the period with red and the amount of days it took to

recover in red.

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5. Moments & Extra Portfolio Metrics

Figure 31 : This report runs for Historical Simulation and, and can also be run as a system dashboard.

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6. CDaR Historical Simulation

Figure 32 : Historical Simulation report data with CDaR, Instrument classifications, and Market Market Value Bar Chart.

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7. CDaR Historical Simulation variation with Greeks

Figure 33 : Historical Simulation report data with CDaR, Greeks, and Weights Pie Chart.

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IV. Other Reports

1. Stress Testing Report

Figure 34 : This report is available for both predictive and simple Stress Testing results.

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2. Stress Testing Yield Curve Effect

Figure 35 : Paragon has the ability to represent the stressed yield term structure vs the actual one for each currency included in the

portfolio.

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3. Stress Testing Per Asset Effect

Figure 36 : Paragon represents the stressed Market Value in a bar Chart.

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4. Stress Testing Original vs Stressed Market Value

Figure 37 : Paragon`s Stressed vs Actual Market Value of holdings in a Bar Chart.

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5. Back Testing Report

Figure 38 : Displays the Back Testing chart (realized return versus calculated VaR) together with any matched exceptions.

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6. Back testing screen

Figure 39 : Paragon also includes thorough Back testing functionality with exceptions reporting.

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7. Back Testing Chart

Figure 40 : All Back Testing reports can be customized according to your preference.

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8. Portfolio group threshold alert

Figure 41 : Allows to visually see which portfolios are breaching or are close to breaching.

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9. Portfolio group threshold alert with variable boundary

Figure 42 : This report shows the calculated metrics of each portfolio in a group along with their set thresholds. A boundary field is

also available that allows the user to customize the sensitivity of the warning level.

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10. Portfolio Group vs Threshold

Figure 43 : The portfolios/portfolio groups together with their respective thresholds can be presented in various ways.

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11. Coupon projection per currency and overview

Figure 44 : Portfolios coupon projection represented in a nicely way. Reports can be run for a set or for a specified year.

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12. Top 10 volatilities in portfolio holdings

Figure 45 : Paragon calculates and represents volatilities in multiple ways.

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13. Portfolio holdings component VaR vs Weights spider chart

Figure 46 : Holdings Component Value at Risk versus Weights in a nice SSRS Spider Chart

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14. Portfolio vs Benchmark weights

Figure 47 : Benchmark Weights vs Portfolio Weight per holding.

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15. Price Variations Lookup

Figure 48 : Allows the user to monitor Instruments, Indices and FX rates for missing values.

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V. Additional Reports

1. UCITS contribution

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2. Basel Report

Figure 49 : A sample Basel report statement.

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3. MiFid Model Tracker Report

Figure 50 : A report that allows the user to track the risk and expected return of a set of Models.

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About KlarityRisk

KlarityRisk (www.klarityrisk.com) is an award-winning Risk Analytics, Risk Management

and Regulatory Risk Reporting software and services provider, focused on the buy-side

sector of the investment management industry.

KlarityRisk products allow wealth and portfolio managers keep portfolio risk workflows

on track with a comprehensive set of tools, methodologies and measurements, aiming

to control risk exposures via timely and continuous monitoring and reporting of

investment’s risk.

KlarityRisk allows wealth managers to operate in a true STP environment, acquiring all

data via your back office system, maximizing the use of their technology investment for

client service excellence.

More details at [email protected]

Copyright© 2018 KlarityRisk. All rights reserved. Information subject to

change without notice. Paragon, the Paragon logo, are registered

trademarks of KlarityRisk S.A. All other products or services herein are

trademarks of their respective owners.

40 Gracechurch St. – London EC3V 0BT United Kingdom Telephone: +44 (0) 207 118 7088 Email: [email protected] Website: www.klarityrisk.com

http://www.klarityrisk.com/

mailto:[email protected]

mailto:[email protected]

http://www.klarityrisk.com/

paragon reporting package 2018 - klarity risk · figure 22 : the report compares any selected...

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