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RMG Risk Presentation

Draft 1

Edward Bair

on 17 February 2010

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Transcript of RMG Risk Presentation

A few examples Sales Resources
http://sales.riskmetrics.com Stress Testing Pre-Trade Analysis Counterparty
Credit Exposure Risk Attribution Limits Monitoring Greeks Compliance
Reporting Reporting Statistics Credit Exposure Descriptive Distribution Exposure Factor Model Risk Attribution Sensitivities Valuation Base Credit Exposure
Expected Credit
Max Credit Exposure
Standard Deviation of Credit Exposure Beta
Bond Equivalents
Break-even Inflation
Discrete Real Yield
Liquidity Horizon
Position Count
Time to Maturity
Yield Conditional Mean Gains
Diversification Benefit
Expected Shortfall
Incremental Expected Shortfall
Incremental Standard Deviation
Incremental VaR
Marginal Standard Deviation
Marginal VaR
Risk Contribution
Shortfall Probability
Standard Deviation
VaR Factor R-Squared
Factor Loadings
Factor Loading Statistical Significance
Factor Loadings Contributions Convexity
Dollar Delta
Dollar Gamma, Duration
Effective Convexity
Effective Duration
Generalized PVBP Implied Risky Zero Curve Shift
Par-Yield Sensitivities
Spread Duration
Spread Convexity
Stress by Tag
Stress by Time
Vega FX Tracking Error
Incremental FX Tracking Error
Incremental Tracking Error
Incremental Tracking Error - ex FX
Tracking ErrorTracking Error - ex FX Clean Present Value
Delta-Adjusted Underlying Present Value
Future Value
Present Value
Underlying Present Value Instrument Coverage Commodities Equities Fixed Income FX Mortgages Multi-Class Structured Credit Average Rate Option
Basis Swap
Double Barrier Option
Future Average Rate Option
Future Option
Future Spread Option
Single Barrier Option
Spread Option
Swap Average Rate Option
Correlation Swap
Double Barrier Option
Future Option
Single Barrier Option
Variance Swap AU/NZ Capital Index Bond
Barrier Cap/Floor
Bond Future
Bond Future Option
Bond Option
Cash Flow Stream
Convertible Bond
Convertible Bond Option
Double Strike Cap/Floor
Forward Rate Agreement
Inflation Indexed Bond
Inflation Linked Swap Inflation Swap
Generic Bond (Fixed Coupon, Zero Coupon, Floating Coupon, Callable, Puttable, Option Free, Brady, Sinking Fund)
Interest Rate Digital Option
Interest Rate Future
Interest Rate Future Option
Mandatory Convertible Bond
Money Market
Overnight Indexed Swap
Range Accrual Note
UK Index Linked Gilt VaR Delta
Delta Equivalents, Exposure
Notional in Base Currency
Notional in Local Currency
Real Notional in Base Currency
Real Notional in Local Currency Average Rate Option
Digital Option
Double Barrier Option
Single Barrier Option
Variance Swap Mortgage Backed Security
US MBS Contract for Difference
Drop-In Scenario
Generalized Sensitivity
Hedge Fund
Multi-Asset Option
Option Amortizing Credit Default Swap (CDS)
CDS Index
CDS Option
Loan CDS
Loan CDS Index
Synthetic CDO 72 of the 100 largest investment managers
35 of the 50 largest hedge funds
16 of the 30 OECD central banks Pre-Processing Analysis Post-Processing Input Output Fund Administrators
Custodians Tabular Reports
Graphic Reporting
XLS Terms & Conditions Enhancement
Golden Copy
Data Mapping Risk Analysis
Stress Testing
Sensitivities Managed Services
Limits Data 800,000 time series

Benchmarks Applications Reporting Services ASP
Risk Applications

Credit Applications

Portfolio Construction RiskManager CreditManager Portfolio Pilot Regulatory Reporting

Investment Reporting

Risk Control UCITS
Basel II HedgePlatform Limits
Monitoring Web Services A Direct Connection to our Clients' Applications Traders' Desktops
3rd Party Applications
Customized Workflows individual equities from exchanges around the globe
implied volatility surfaces
term structures
Full transcript