Quantal completes integration of Quantal Risk Model with Thomson Reuters JRisk
Thomson Reuters JRisk is a real time risk management and analytics platform that combines cross-asset functionality with an application framework built on SOA technology. It integrates trade-management operations, valuation and risk analysis, scenario analysis, P&L decomposition and trading scenarios and limits all within an open, flexible and extensible framework.Integrated with the Quantal Risk Model, the solution allows you to see an overview of firm-wide risk, both in absolute terms and relative to any benchmark.
For the first time you are able to analyze strategic portfolio risk in the same system you use to support real-time cross asset trading. Through JRisk, you now have access to the Quantal’s cross asset multifactor risk model that is updated daily and adapts quickly to changes in the market.
This enables you to identify and manage risk more effectively using a realtime front and middle office risk management solution complete with advanced risk analytics that can be deployed in-house or delivered over the Web.
JRisk has been designed both with and for leading industry players to meet the most sophisticated functional requirements, quickly becoming the solution of choice at global investment banks and leading hedge funds and asset managers in the US, Europe and Asia.
AT A GLANCE
Keep pace with today’s complex market conditions – with a powerful, scaleable risk platform
- Consolidate your view of risk - use a single cross-asset class risk model that covers equities, currencies, bonds, futures and options and allows you to view your forward-looking risk and to analyze your risk sensitivities
- Bring new functionality to market - access source code and reusable business logic to implement new functionality and applications quickly using an extensible application framework
- Construct portfolios - optimize your portfolio taking into account both expected return and risk; incorporating your own views, constraints and transaction costs
- View a distribution of future outcomes - use Monte Carlo engine to view myriad of potential future portfolio values, determine VaR, or assess the probability that you under perform by a certain percentage.
- Conduct stress tests - better understand how your portfolio would perform under historical and user defined scenarios
- Available as hosted service - JRisk On Demand
For more information on Thomson Reuters Risk solutions, please visit: www.reuters.com/risk.
FEATURES AND BENEFITS
Portfolio Construction and Optimization
- Portfolios can be constructed with the goal of maximizing return and minimizing risk. The optimizer handles all investment styles, including long-only, market neutral, 130/30, enhanced indexing and others.
- Impose your own views on expected return for equities by entering their returns or ranked scores.
- Account for transaction costs and to apply constraints like upper/lower limits, number of securities, percent of daily trading volume, etc.
- Quantal’s cross-asset class factor model allows JRisk to simulate future values of instruments in a client’s portfolio, taking into account the correlation of each of the instruments.
- Offered in conjunction with the historical simulation feature, the Monte Carlo feature revalues each instrument in the portfolio, under hundreds of thousands of potential sets of future market data.
- Perturb a few key rates and view the affect of that shock on the portfolio value. Both historical and user-defined scenarios are supported.
- JRisk provides a more complete picture of the affect of a market shock, by using the Quantal forecasted Variance-Covariance matrix to compute partial exposures (betas) to shock variables for each of the pricing inputs. (i.e. Stock prices, interest rates, etc)
- All of the instruments are re-priced using the shocked pricing inputs, and you can view the performance of the portfolio under your stress scenario.