Risk Statistics

IA has always promoted the use of many different risk models and multiple risk statistics.  There is no "one" way to calculate risk.  In fact, there are many ways to quantify risk, and each of those can be calculated using a number of different techniques.  The best approach is to start by measuring several different aspects of the portfolio's risk and then combine that with dynamic stress tests of various sorts.

Risk Fundamentals

it's what Investor Analytics calls the basics.  We see  analytics like exposure, correlation, and Value-at-Risk as a starting point. From there, you need stress tests, what-if analyses, historical scenarios, simulations, risk driver analysis [1] - all the core elements of solid risk management.

Our comprehensive risk management platform gives you the most well rounded perspective you can have on your portfolio’s volatility and risk levels, from every possible viewpoint. The result is a complete analysis that we provide every day, every week and/or every month. The choice is yours:

Risk Fundamentals - Baseline Analyses:

• Risk exposure, volatility and correlation analyses
• Expected Shortfall, Value-at-Risk, Worst-Day
• Tail Loss Statistics
• Extreme Value Theory
• FX Risk
• Moment Analysis: skewness and kurtosis
• Sensitivities to Benchmarks

Risk Fundamentals - Advanced Analyses:

• Option Greeks analysis
• Risk attribution: marginal and incremental risks
• Fixed Income Analysis: duration, convexity, DV01
• Risk-return ratios: Sharpe, Sortino, etc.
• Monte Carlo