4-Apr-07
CAfIT launches latest version of REMIA, providing new levels of portfolio scenario analysis and risk
CAfIT Ltd, the specialist Fixed Income, Derivatives and Balanced Fund software provider, has unveiled v5 of its advanced REMIA scenario, risk and stress testing system, providing fund managers with wide-ranging facilities to model projected fund and benchmark performance. Designed to assist the investment decision-making process, REMIA enables funds to be modelled under different time periods and scenarios simultaneously, modelling both fund manager’s expectations and the “house” view. The v5 of REMIA incorporates the addition of currency Value at Risk (VaR), generating projected currency VaR values at different confidence levels to describe the market risk of a trading portfolio. This feature helps firms to track portfolios’ market risk by using historical volatility as a risk metric.
REMIA provides for diverse and complex portfolios including fixed income, derivative and equity assets with a wide range of breakdowns, accurately reflecting the investment process and providing comprehensive flexibility. It produces a full return and attribution projection that clearly highlights the sources of return, including projected attribution. A wide range of market effects can be broken into, including duration effects, level and shape effects, full curve point exposure effects, as well as spread, coupon, roll-down, convexity and specifics. REMIA also accommodates currency effect splits into active (hedge and overlay), and passive (forward and surprise) as well as different returns for the derivatives.
Designed to operate under Microsoft.NET, REMIA sits alongside CAfIT’s comprehensive suite of sophisticated portfolio management solutions. This includes the recently launched innovative Analytics Engine and CAfIT’s market-leading FIPA analytics portfolio management and modelling solution, which is widely deployed by leading international asset management institutions. It can be used either as a standalone risk system sitting on top of a client’s own systems, or as part of CAfIT’s product suite to deliver a fully integrated investment system. When used with FIPA, REMIA allows for portfolio VaR and scenario behaviour to be examined with potential trades, prior to execution.
- REMIA enables the following key business benefits:
Flexible and comprehensive scenario definition, allowing definition in terms of sectors, inflation, curves, swaps and spreads, credit and currency. - Full forward valuation of the fund and calculation of projected performance, risk and attribution. These can be absolute or relative to the benchmark, to a model or to another fund.
- Definition of scenarios in terms of 'shifts' or changes – this allows scenarios to be defined once and then applied to prevailing market conditions rather than having to continually maintain them
- Multiple time periods for scenarios, allowing different expectations to be specified for different time periods. Expectations can be run individually or simultaneously.
- Potential trading strategies can be included and excluded in the scenario run to model the projected performance of the strategy. This can include new stocks or stocks not held.
- CAfIT’s Curve explorer provides a graphical as well as numerical representation of past, present and future curves in each market, giving an easier comprehension of their impact on returns.
- Currency VaR breakdown with full VaR, diversified VaR, and component VaR.