Risk Management

Company-wide portfolio risk assessment tool

A certain level of risk is essential to any investment strategy. Equally essential is managing this risk. With StatPro’s Risk Management solutions, an investment manager will have a transparent view of risk for portfolio construction, regulatory requirements, and investor relations.

We not only provide standard measures of risk and volatility, but we have also pioneered many enhancements that will help managers isolate critical drivers of risk. We employ advanced models yet present the results in a highly transparent and intuitive interface that can easily be digested by both sophisticated practitioners and concerned investors.

  • SRM - risk decomposition
  • SRM - liquidity risk
  • SRM - portfolio analysis
  • SRM - stress tests
Key features

  1. Multiple ex-ante risk measures including Value-at-Risk and CVaR (expected shortfall) at a variety of confidence levels, potential gain, volatility, tracking error and diversification grade. These measures are available in both absolute and relative basis.
  2. Full re-pricing methodology using advanced models based on Quantlib, the leading open-source project for quantitative finance that StatPro founded. StatPro has one of the industry’s widest asset coverage (with over 300 pricing functions), which makes it the perfect solution for many different types of asset managers.
  3. Sensitivity analysis to key risk factors including interest rates, credit spreads, commodities, volatility, currencies, and inflation. Additionally, stress tests can be applied to portfolios using historical or engineered conditions.
  4. An integrated credit model that dynamically provides a highly predictive gauge of risk for credit sensitive securities.
  5. A standardized methodology to capture market liquidity risk. Unlike other measures of liquidity risk that use incomplete information and generalized assumptions, our methodology illustrates potential monetary loss of liquidation based on a more complete view of liquidity– all broken down by components of liquidity risk, namely bid/ask spreads, market cap, nominal size, instrument type, and size of ownership.
  6. A stable and reliable assessment of tail risk called Hybrid VaR that counters the pro-cyclicality of other measures in the market. Along with conditional VaR, Hybrid VaR provides a clear indication of tail risk that traditional measures don’t capture.
  7. Complete UCITS IV risk reporting service, when used together with other StatPro’s products, to ensure compliance with UCITS IV risk regulations in Europe.
  8. Enhanced transparency through robust risk decomposition functionality.

StatPro pricing functions

The multi-asset class risk management software covers the entire span of risk factors and currently delivers more than 250 pricing functions; a number that is growing continuously. A full overview of available risk factors is listed below:

View pricing functions

ABS coupon bond
ABS Performance bond
ABS Performance certificate
Absolute bonus certificate
Absolute index express certificate
Absolute spread option coupon bond
Absolute spread option coupon certificate
Airbag bond
Amortizing fixed-rate-coupon bond
Amortizing floating-rate-coupon bond
Asian auto-callable bond
Asian auto-callable certificate
Asian drag bond
Asian drag certificate
Asian lookback barrier bond
Asian lowest level index bond
Auto-callable knock-in certificate
Auto-callable up barrier certificate
Auto-callable weighted performance bond
Barrier bonus certificate on a basket
Barrier option
Barrier vanilla option
Basket bonus certificate
Basket corridor-bonus bond
Basket corridor-bonus certificate
Basket minimum-absolute-performance bond
Basket minimum-absolute-performance certificate
Basket smart option
Basket tarn bond
Basket tarn certificate
Best-end certificate
Best performance basket bond
Best performance basket certificate
Best strategy Certificate
Binary barrier option
Binary double barrier option
Bond-dependent performance bond
Bond future option
Bond future vanilla option
Bond futures
Bond option
Bond vanilla option
Bonus bond
Bonus certificate
Bounded-performance-best-sum bond
Bounded-performance-sum bond
Call put performance bond
Call put performance certificate
Callable fixed-rate-coupon bond
Callable zero-coupon bond
Capped-best-performance bond
Capped bonus certificate
Capped-performance sum bond
Capped rainbow-Asian bond
Capped stock linked certificate
Capped weighted-performance bond
Cash-collect certificate
Cds basket
CDS option
Composite bond
Composite index
Conditional floating-rate bond
Constant-maturity bond
Constant-maturity digital bond
Constant-maturity digital-spread bond
Constant-maturity spread bond
Constant-maturity spread-cap bond
Constant-maturity swap
Convertible fixed-rate-coupon bond
Convertible fixed-rate-coupon option
Convertible floating-rate-coupon bond
Convertible floating-rate-coupon option
Corridor bond
Corridor bonus certificate
Corridor discount certificate
Credit-default swap
Cross currency interest-rate swap
Cross currency not resetting interest-rate swap
Currency-exchange bond
Currency-exchange option
Currency-exchange vanilla option
Currency express certificate
Digital bond
Digital cap
Digital cash or nothing option
Digital cash or nothing vanilla option
Digital floor
Digital FX-linked bond
Digital-range bond
Discrete average price asian option
Double-average bond
Double barrier option
Double barrier vanilla option
Double chance certificate
Double-digital FX-linked bond
Double-up certificate
Early termination target-event bond
Early termination target-event certificate
Equity swap
EuroDollar interest-rate option
EuroDollar interest-rate vanilla option
European index express certificate
European multiasset bond
European option on a basket
European option on the performance of a basket
European option on the performance of a FX basket
Everest memory bond
Express alpha plus bond
Express alpha plus certificate
Express bonus certificate
Express certificate
First-to-default swap
Fixed-rate-coupon bond
Fixed-rate-coupon bond cdo
Fixed-rate range-accrual bond
Fixed-to-floater coupon bond
Floating rate ABS coupon bond
Floating-rate-coupon bond
Floating-rate-coupon bond cdo
Floating-rate range-accrual bond
Floored negative galaxy bond
Floored put bonus certificate
Floored stock linked option
Forward-digital bond
FX forward
FX futures
Galaxy bond with lock-in
Himalayan-performance bond
Index express certificate
Index futures
Index-linked bond
Index-linked option
Index linked option coupon bond
Index linked option coupon certificate
Index-linked vanilla option
Index mini-certificate
Index mini-futures
Inflation-linked gilt
Interest rate futures
Interest-rate option
Interest-rate swap
Interest-rate vanilla option
Inverse-ratchet bond
Knock-in certificate
Knock-in reverse convertible
Knock-in reverse convertible certificate
Lock-in temple bond
Look back fixed strike option
Look back floating strike option
Lookback barrier bond
Lookback barrier certificate
Lookback performance option on a basket
Lowest-performance bond
Lowest-performance certificate
Maxi-rend certificate
Memory Asian bond with bonus
Min max performance bond
Min performance barrier bond
Min performance barrier certificate
Mini-futures on futures
Minimum-absolute-performance bond
Minimum-absolute-performance certificate
Minimum performance barrier bond
Minimum-performance bond
Mortgage-backed security
Multi-coupon Asian bond
Napoleon Ratchet bond
OATEI-like bond
Outperformance certificate
Peak lock in bond
Peak lock in certificate
Pered stock
Penny-stock option
Performance bond
Performance certificate
Performance difference basket bond
Performance difference basket certificate
Performance-difference bond
Plain-vanilla cap
Plain-vanilla floor
Plain-vanilla interest-rate swap
Plain-vanilla swaption
Power certificate
Quoted-bond-future option
Quoted CDO equity tranche
Quoted CDO mezzanine tranche
Rainbow Asian bond
Rainbow Asian certificate
Rainbow-barrier bond
Rainbow-barrier memory bond
Rainbow-double-barrier bond
Ratchet bond
Redemption-currency-Fixed-rate-coupon bond
Relax bonus certificate
Reload bond Reload bond with rebate
Resetting Rainbow Asian Bond
Rsetting Rainbow Asian certificate
Reverse bonus certificate
Reverse bonus min certificate
Reverse constant-maturity bond
Reverse index-linked bond
Reverse Mortgage-backed security
Reverse TARN bond
RF curve fixed-rate-coupon bond
RF curve fixed-rate-coupon certificate
Rolling discount certificate
Rolling index futures
Single-coupon performance bond
Single-coupon performance certificate
Smart option
Spread option
Spread option coupon bond
Spread option coupon certificate
Spread outperformance certificate
Spread trigger fixed coupon bond
Spread trigger fixed coupon certificate
Sprint certificate
Standard inflation-linked bond
Step-guaranteed Bond
Step-up knock-in certificate
Stock futures
Stock-linked option
Stock-linked vanilla option
Structured bond
Sum-of-decrements bond
Sum-of-decrements certificate
Target-event bond
Three-band performance bond
Trigger gap bond
Trigger gap certificate
Trigger option
Turbo certificate
Vanilla option
Variance swap
Weighed-performance certificate
Weighted-performance bond
Worst-performances bond
Zero-coupon bond
Zero-coupon bond paying inflation
Zero-coupon certificate