The Fund is initiating a procurement of new solutions for its risk analysis (ex ante), and possibly for style analysis for equities. The risk system completes a system framework where the other main components are FinanceKit from Trema (portfolio system) and Pearl from Ortec (performance attribution). The risk solution should be able break-down and analyse ex ante risk in different positions, from aggregated portfolio level to various sub-portfolios to individual assets.
The system should cover both absolute and relative risk. Within the solution one should be able to carry through simulations and what-if analysis to see how changed positions would affect the risk picture of the portfolio. The style analysis needs could be covered by the same or a different system: the purpose of style analysis is mostly to understand and manage the exposure to different risk factors in the Fund’s equity portfolios.