Risk Management:RVPortfolio

RVPortfolio allows managers to break down risk into individual component and then dig deeper using risk analysis tools that include risk factor sensitivities, P&L Explanation, Scenario Analysis and Value-at-Risk.


RVPortfolio elminates the tedious work required to identify risk factors and gives manager an intuitive tool that helps them to make better decisions.

Multi-tier Hierarchy

RVPortfolio boasts a multi-hierarchy framework, which allows portfolio managers to organize their portfolio and drill-down their risk at the “strategy” level, while risk managers aggregate their portfolio to book or firm level. The system not only allows users to monitor real-time portfolio performance, but it also supports users to select any date from the past and view history performance.

Unique Approach to VaR

  • Dual Historical VaR approach: Full Valuation Method & Market Risk-Factor Method

  • Models are vetted by active traders and portfolio managers to track the market accurately and find relative value opportunities, so both the factor-based model sensitivities and the market data driving both methods are clean enough for the most detailed and thorough risk professionals.

  • RiskVal not only generates P&L history, but also creates P&L attribution, so Risk Managers can examine the accuracy of P&L down to the strategy and position level.

Scenario Analysis

  • Stress Test reports based on the largest market loss events over the past few decades are included such as Lehman collapse and recent events like Brexit.

  • Custom scenarios can be created with detailed granularity to simulate potential shocks. Dozens of market factors are available on either absolute or relative terms.

  • RiskVal makes it easier for users to manipulate these factors in combination by implementing a historical correlation matrix among factors with configurable time horizons.

Risk Reporting

  • Multiple industry-standard templates improve risk reporting efficiencies, since the system already has the necessary inputs for Hedge Fund managers and institutional investors to communicate their unique portfolio value.

  • For example, industry-group compliant OPERA reports are position based rather than returns based. It includes breakdowns of your portfolio by Credit Rating, Sector, Region, Currency and market-standardized reporting methods for VaR, portfolio sensitivities, and Stress Tests.

  • Portfolio Managers benefit from RiskVal’s expertise on Front Office Risk Reports, including Bucket Risk, Forward Bucket Risk, Basis Risk, and $Greek reports to drill into the source of your portfolio risk.