Risk Management

Software for debt securities evaluation and bond portfolios risk analysis

Over the last 30 years ANALYSIS has developped applications and services dedicated to the interest rate instruments evaluation and  bond portfolios risk management:
PromotioWin for analysis and evaluation of mark-to-market debt securities (yields, repos , postion-keeping, fair price evaluation)
RISK for bond portfolios risk management (money-market zero-coupon curve and government bonds term structures historical data, transactions-based portfolio management and comprehensive tools for evaluating portfolio VaR).
ANALYSIS has currently one of the most extensive database of corporate banking bond issues and software capable of analyzing in detail the characteristics of bonds and calculate all the main indicators of risk and profitability.  The software applications also have forms that are appropriate to provide fair assessments on price structures with simple plain vanilla or optional features.

Fair Price independent evaluation service
For evaluating fair value of complex interest rate such as structured bonds, volatility products and swaptions or hybrid instruments such as index/equitycurrency/commodity linked,   ANALYSIS provide a specific service delivered through an Application Service Provider interface.
ANALYSIS only for this specific service also makes use of external partnerships in order to cover a broad spectrum of needs.
The service, through a simple Web interface, allows the customer to take advantage of the following two modules:
  Displaying of portfolio holdings to facilitate the end-user in the validation process of each instrument terms and conditions assumed from the original Prospectus.
  Displaying the price decomposition of each instrument also including an optional component with the main coefficients of sensitivity (delta, vega and rho)
The theoretical approach used for the enhancement of price is based on specific models (Libor Market Model, White Hull) made ad hoc and calibrated based on the specifications contained in the “Terms and Conditions” of each structured product.

Convertible bonds evaluation
Analysis is also a client service center in Italy for the Monis XL software, developed by SunGard – Monis division.
Monis XL is the leading European software application in the evaluation of convertible bonds, but can also cover a wide range of interest rate instruments.
It ‘s a software dedicated to the most sophisticated players, easy to use (Excel based) and advanced mathematical content. Monis XL convertible bonds can develop very complex and so-called “hybrids” structures.  The form calculates all the core indicators for the analysis and for the hedging of these instruments. SunGard Monis is also developing other modules, always based on MS-Excel, dedicated to the evaluation of equity / index / FX and interest rate derivatives.

Value-at-Risk (VaR) – Financial risk measurement service of securities and managed account portfolios

This specific service by ANALYSIS is capable of delivering on a daily basis key values to uniquely identify the degree of risk of each financial instrument in the portfolio and the overall portfolio.
This evaluation service may include in the data stream, provided on the basis of indications of the Customer, the following risk measures:
    measuring the volatility and VaR of the overall portfolio
    measuring the volatility and VaR of the of each individual securities (portfolio holdings)
    measuring the contribution and marginal VaR of the portfolio holdings
The data stream may also contain the value of the estimated VaR over a holding period to be agreed with the customer, and finally a measurement of the risk profile.
This service could be automatically implemented for measuring VaR of all portfolios containing financial instruments listed below:
   Bonds listed and unlisted (plain vanilla)
    Funds,SICAV, ETF (EU harmonized)
    Stocks traded in major markets (Europe, North America and Far East)