sample reporting package 2018 - klarity risk · figure 28 : the report compares any selected...
TRANSCRIPT
SAMPLE REPORTING PACKAGE 2018
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Contents Contents ......................................................................................................................................................................................................................... 1
I. APX Reports & Dashboards .................................................................................................................................................................................... 5
1. Risk Summary & Performance ....................................................................................................................................................................... 5
2. Combined APX Dashboards ........................................................................................................................................................................... 6
3. Combined APX Dashboards ........................................................................................................................................................................... 7
4. Combined APX Dashboards ........................................................................................................................................................................... 8
5. Risk Exposure Portfolio/Group/Consolidated Group Report In APX ............................................................................................................ 9
6. Stress Testing against Past Crisis Scenarios in APX ...................................................................................................................................... 10
II. Parametric Methodology ..................................................................................................................................................................................... 11
A. System Screens ................................................................................................................................................................................................ 11
1. Paragon`s Initial user dashboards ................................................................................................................................................................ 11
2. Portfolio Parametric Value at Risk ............................................................................................................................................................... 12
3. Portfolio Parametric Value at Risk Sample Bar Chart .................................................................................................................................. 13
4. Portfolio Positions ........................................................................................................................................................................................ 14
5. Portfolio Positions Sample Bar Chart ........................................................................................................................................................... 15
6. Portfolio Group Positions ............................................................................................................................................................................. 16
7. Portfolio Group Parametric Value At Risk .................................................................................................................................................... 17
8. Portfolio Group Positions ............................................................................................................................................................................. 18
B. Reports ............................................................................................................................................................................................................. 19
1. Portfolio Group Value at Risk with Threshold.............................................................................................................................................. 19
2. Portfolio Group Value at Risk percentage of its Market Value .................................................................................................................... 20
3. Portfolio Group Value at Risk percentage of its Market Value detail .......................................................................................................... 20
III. Monte Carlo Simulation ................................................................................................................................................................................... 21
A. System Screens ................................................................................................................................................................................................ 21
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1. Portfolio Group Monte Carlo Simulation Value at Risk ............................................................................................................................... 21
2. Portfolio Group Monte Carlo Simulation Value at Risk Bar Chart ............................................................................................................... 22
3. Portfolio Monte Carlo Simulation Value at Risk .......................................................................................................................................... 23
4. Monte Carlo Simulation Sample SSRS Bar Chart.......................................................................................................................................... 24
5. Monte Carlo Simulation Histogram ............................................................................................................................................................. 25
6. Portfolio Risk decomposition ....................................................................................................................................................................... 26
7. Portfolio Risk Decomposition Charting ........................................................................................................................................................ 27
8. Portfolio Decomposition Drill In .................................................................................................................................................................. 28
9. Risk Decomposition sample Pie Chart ......................................................................................................................................................... 29
10. Portfolio Group Histogram Report ........................................................................................................................................................... 30
B. Reports ............................................................................................................................................................................................................. 31
1. Risk Exposure Overview –Group/Portfolios/Consolidated Group ............................................................................................................... 31
2. Risk Exposure Overview –Group/Portfolios/Consolidated Group ............................................................................................................... 32
3. Portfolio Group Value at Risk percentage of its Market Value .................................................................................................................... 33
4. Portfolio Group Value at Risk percentage of its Market Value detail .......................................................................................................... 33
5. Portfolio Risk Decomposition by holdings ................................................................................................................................................... 34
6. Portfolio Risk Decomposition grouping ....................................................................................................................................................... 36
7. Issuer Report ................................................................................................................................................................................................ 37
8. Aggregated Delta Report ............................................................................................................................................................................. 38
9. Histogram of Returns ................................................................................................................................................................................... 39
10. Portfolio Marginal Value at Risk............................................................................................................................................................... 40
11. Portfolio Bar Chart ................................................................................................................................................................................... 41
12. What if Portfolio Decomposition Analysis ............................................................................................................................................... 42
13. What if Portfolio Decomposition Analysis Bar Chart ............................................................................................................................... 43
IV. Historical Simulation ........................................................................................................................................................................................ 44
A. System Screens ................................................................................................................................................................................................ 44
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1. Portfolio Histogram ...................................................................................................................................................................................... 44
2. Portfolio Historical Simulation Value at Risk ............................................................................................................................................... 45
3. Portfolio Market Value Bar Chart ................................................................................................................................................................ 46
4. Portfolio Group Historical Simulation Value at Risk .................................................................................................................................... 47
5. Portfolio Group Histogram Report ............................................................................................................................................................... 48
A. Reports ............................................................................................................................................................................................................. 49
1. Portfolio Group Value at Risk percentage of its Market Value .................................................................................................................... 49
2. Portfolio Group Value at Risk percentage of its Market Value detail .......................................................................................................... 49
3. Histogram of Returns ................................................................................................................................................................................... 50
4. Draw-down Report ....................................................................................................................................................................................... 51
5. Moments & Extra Portfolio Metrics ............................................................................................................................................................. 52
6. CDaR Historical Simulation........................................................................................................................................................................... 53
7. CDaR Historical Simulation variation with Greeks ....................................................................................................................................... 54
V. Other Reports....................................................................................................................................................................................................... 55
1. Stress Testing Report ................................................................................................................................................................................... 55
2. Stress Testing Yield Curve Effect .................................................................................................................................................................. 56
3. Stress Testing Per Asset Effect ..................................................................................................................................................................... 57
4. Stress Testing Original vs Stressed Market Value ........................................................................................................................................ 58
5. Stress Testing Historical Scenarios Comparison .......................................................................................................................................... 59
6. Custom Volatilities & Correlations Stress Testing ........................................................................................................................................ 60
7. Thresholds and Calculations Monitoring – Monte Carlo/Historical Simulation/Parametric ....................................................................... 61
8. Back Testing Report ..................................................................................................................................................................................... 62
9. Back testing screen ...................................................................................................................................................................................... 63
10. Back Testing Chart .................................................................................................................................................................................... 64
11. Portfolio group threshold alert ................................................................................................................................................................ 65
12. Portfolio group threshold alert with variable boundary .......................................................................................................................... 66
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13. Portfolio Group vs Threshold ................................................................................................................................................................... 67
14. Coupon projection per currency and overview ....................................................................................................................................... 68
15. Top 10 volatilities in portfolio holdings ................................................................................................................................................... 69
16. Portfolio holdings component VaR vs Weights spider chart ................................................................................................................... 70
17. Portfolio vs Benchmark weights .............................................................................................................................................................. 71
18. Price Variations Lookup ........................................................................................................................................................................... 72
VI. Additional Reports ........................................................................................................................................................................................... 73
1. UCITS contribution ....................................................................................................................................................................................... 73
2. Basel Report ................................................................................................................................................................................................. 74
3. MiFid Model Tracker Report ........................................................................................................................................................................ 75
About KlarityRisk ...................................................................................................................................................................................................... 76
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I. APX Reports & Dashboards 1. Risk Summary & Performance
Figure 1 : APX Dashboard with Risk Calculation Summary, Value at Risk analysis, Top 5 Stress Testing Scenario Losses and Risk vs TWR
comparison line chart.
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2. Combined APX Dashboards
Figure 2 : Asset allocation by different categories together with CVaR per category. Top /Bottom Volatilities and Component VaR per
position.
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3. Combined APX Dashboards
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4. Combined APX Dashboards
Figure 3 : Paragon Results next to APX Summary Pie Chart. At the bottom Paragon Risk Limits breach displayed as APX activities alert.
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5. Risk Exposure Portfolio/Group/Consolidated Group Report In APX
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6. Stress Testing against Past Crisis Scenarios in APX
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II. Parametric Methodology
A. System Screens
1. Paragon`s Initial user dashboards
Figure 4 : Paragon supports up to eight different user dashboards.
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2. Portfolio Parametric Value at Risk
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3. Portfolio Parametric Value at Risk Sample Bar Chart
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4. Portfolio Positions
Figure 5 : Paragon calculates the positions by repricing the non-linear instruments.
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5. Portfolio Positions Sample Bar Chart
Figure 6 : Paragon reporting is based on SSRS that it is easy to customize t it according to your preference.
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6. Portfolio Group Positions
Figure 7 : Most reports can be run also for groups and consolidated portfolios or funds.
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7. Portfolio Group Parametric Value At Risk
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8. Portfolio Group Positions
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B.Reports
1. Portfolio Group Value at Risk with Threshold
Figure 8 : 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 9 : Available for all the supported methodologies.
3. Portfolio Group Value at Risk percentage of its Market Value detail
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III. 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 10 :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 11 : 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 12 : Top 10 Positions Bar Chart
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5. Monte Carlo Simulation Histogram
Figure 13 : Portfolio return distribution, also available in percentage.
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6. Portfolio Risk decomposition
Figure 14 : Portfolio Decomposition by holdings system screen
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7. Portfolio Risk Decomposition Charting
Figure 15 : 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 16 : 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 17 : Portfolio Component Value at Risk Pie Chart
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10. Portfolio Group Histogram Report
Figure 18 : Shows the return distribution of multiple portfolios in a group. Portfolio Histogram
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B.Reports
1. Risk Exposure Overview –Group/Portfolios/Consolidated Group
Figure 19 : Report shows VaR analysis and statistics for all portfolios of a group as well as for the consolidated group. Red/Green colors
show if a risk threshold has been breached or not.
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2. Risk Exposure Overview –Group/Portfolios/Consolidated Group
Figure 20 : Report shows VaR analysis and statistics for all portfolios of a group as well as for the consolidated group. Red/Green colors
show if a risk threshold has been breached or not.
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3. Portfolio Group Value at Risk percentage of its Market Value
4. Portfolio Group Value at Risk percentage of its Market Value detail
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5. Portfolio Risk Decomposition by holdings
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Figure 21 : Portfolio Risk decomposition analytics report with configurable bar chart.
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6. Portfolio Risk Decomposition grouping
Figure 22 : 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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7. Issuer Report
Figure 23 : This report is available for all methodologies in the system.
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8. Aggregated Delta Report
Figure 24 : Report available for Monte Carlo, Historical and Stress Testing. The report groups portfolios Delta values using different
various instrument classifications.
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9. Histogram of Returns
Figure 25 : 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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10. Portfolio Marginal Value at Risk
Figure 26 : Two different views of the portfolio Marginal Value at Risk calculations.
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11. Portfolio Bar Chart
Figure 27 : Top 10 positions (top) and top 10 Component Value at Risk (bottom)
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12. What if Portfolio Decomposition Analysis
Figure 28 : 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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13. What if Portfolio Decomposition Analysis Bar Chart
Figure 29 : Twin Bar Charts showing Component VaR and Marginal of each portfolio with their respective what if.
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IV. Historical Simulation
A. System Screens
1. Portfolio Histogram
Figure 30 : Shows the true portfolio distribution of returns, also available in percentage.
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2. Portfolio Historical Simulation Value at Risk
Figure 31 : Grouping available in all classifications such as Asset Class, Group and Sector
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3. Portfolio Market Value Bar Chart
Figure 32 : Portfolio Top 10 Positions in terms of Market Value
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4. Portfolio Group Historical Simulation Value at Risk
Figure 33 : Available columns are beta, Vega and portfolio Duration.
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5. Portfolio Group Histogram Report
Figure 34 : Available columns are Rho, Theta, Duration, Vega, FX delta, Equity Delta.
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A. Reports
1. Portfolio Group Value at Risk percentage of its Market Value
2. Portfolio Group Value at Risk percentage of its Market Value detail
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3. Histogram of Returns
Figure 35 : 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 36 : 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 37 : 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 38 : 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 39 : Historical Simulation report data with CDaR, Greeks, and Weights Pie Chart.
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V. Other Reports
1. Stress Testing Report
Figure 40 : This report is available for both predictive and simple Stress Testing results.
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2. Stress Testing Yield Curve Effect
Figure 41 : 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 42 : Paragon represents the stressed Market Value in a bar Chart.
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4. Stress Testing Original vs Stressed Market Value
Figure 43 : Paragon`s Stressed vs Actual Market Value of holdings in a Bar Chart.
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5. Stress Testing Historical Scenarios Comparison
Figure 44 : KlarityRisk incorporates historical scenarios that can be used for Stress Testing.
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6. Custom Volatilities & Correlations Stress Testing
Figure 45 : User defined volatilities and correlation sets can be used to perform Stress Testing. Report shows Asset Class break down for
initial portfolio as well as the virtual-stressed one. On the report the classification can also be any standard instrument classification
(sector, Group, Type, Currency, Risk Country etc). Red/Green colors depict risk threshold breach or pass.
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7. Thresholds and Calculations Monitoring – Monte Carlo/Historical Simulation/Parametric
Figure 46 : Historical VaR with historical threshold is supported in all methodologies
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8. Back Testing Report
Figure 47 : Displays the Back Testing chart (realized return versus calculated VaR) together with any matched exceptions.
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9. Back testing screen
Figure 48 : Paragon also includes thorough Back testing functionality with exceptions reporting.
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10. Back Testing Chart
Figure 49 : All Back Testing reports can be customized according to your preference.
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11. Portfolio group threshold alert
Figure 50 : Allows to visually see which portfolios are breaching or are close to breaching.
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12. Portfolio group threshold alert with variable boundary
Figure 51 : 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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13. Portfolio Group vs Threshold
Figure 52 : The portfolios/portfolio groups together with their respective thresholds can be presented in various ways.
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14. Coupon projection per currency and overview
Figure 53 : Portfolios coupon projection represented in a nicely way. Reports can be run for a set or for a specified year.
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15. Top 10 volatilities in portfolio holdings
Figure 54 : Paragon calculates and represents volatilities in multiple ways.
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16. Portfolio holdings component VaR vs Weights spider chart
Figure 55 : Holdings Component Value at Risk versus Weights in a nice SSRS Spider Chart
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17. Portfolio vs Benchmark weights
Figure 56 : Benchmark Weights vs Portfolio Weight per holding.
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18. Price Variations Lookup
Figure 57 : Allows the user to monitor Instruments, Indices and FX rates for missing values.
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VI. Additional Reports
1. UCITS contribution
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2. Basel Report
Figure 58 : A sample Basel report statement.
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3. MiFid Model Tracker Report
Figure 59 : 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