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SOLUTION
Welcome to the Wolfram Risk System, your comprehensive solution for financial risk analysis and portfolio management. Our system provides an extensive suite of tools for examining past performance data, measuring portfolio risk, and conducting scenario analysis, among other capabilities.
CAPABILITIES
Powerful tools designed to measure past effectiveness and inform future strategies.
Financial Analysis
Unlock the power of retrospective financial analysis through our Profit & Loss (P&L) feature. Compare your portfolio's returns against chosen indices and perform a range of ex-post metric calculations like Calmar Ratio, Maximum Drawdown, and Tracking Error.
Exposure Analysis
Gain deep insights into how different market conditions might affect your portfolio. Track Gross and Net Exposures, analyze CR01 for credit sensitivity, calculate DV01 for fixed income, and measure Average Daily Volume (ADV) metrics for liquidity.
Custom MultiReports
Create tailored reports using saved views from our analytical tools. Set up flexible scheduling to automate the distribution of custom reports to stakeholders, showcasing top P&L contributors, VaR sectors, and portfolio beta.
VAR MODELING
Take command of your prospective risk management with our Value At Risk module, featuring four sophisticated forecasting models.
Parametric Model
An analytical model that uses statistical techniques to forecast potential losses by assuming a normal distribution of returns. Ideal for standard risk analysis scenarios where market conditions are relatively stable.
Monte Carlo Simulation
Utilizes stochastic processes to simulate a wide range of possible market scenarios. Offers Normal and Student-T distributions, perfect for capturing 'fatter tails' in highly volatile markets.
Historical Simulation
Analyzes historical data to predict future risks. Grounded in actual market performance, it offers a real-world perspective when past market trends are strong indicators of future performances.
Hybrid Model
A sophisticated blend of historical simulation with an added decay factor on returns. Recent returns are given higher weights, allowing the model to react swiftly to dynamic, fast-changing market environments.
CONDITION
SCENARIOS
Equip yourself with prebuilt historical scenarios and proactive What-If editing tools to stress-test your portfolio against past and future market events.
Historical Scenarios
Stress test your portfolio against actual past market events. Our prebuilt scenarios include Black Monday '87, the 2008 Global Financial Crisis, the Covid-19 Pandemic, Brexit, and the Tech Bubble 2000.
Open Protocol Shocks
Utilize Open Protocol Non-Predictive Shocks for comprehensive stress testing. Evaluate standard ±10% shocks across commodities, equities, credit spreads, currencies, and implied volatility.
What-If Editor
Simulate changes to your portfolio’s composition before executing trades. Use the Batch Editor to test the addition of hedges, increase existing positions, or test position swaps to instantly see the impact on your VaR and risk profile.
EVALUATION
PERFORMANCE ATTRIBUTION
Generating alpha is only half the battle; understanding exactly where it came from is critical for institutional portfolio management. The Wolfram Risk System features a highly automated Performance Attribution Engine designed to deconstruct portfolio returns relative to a benchmark.
Beyond Brinson
- The Brinson model (1985) has become an industry standard precisely because it reflects a straightforward sector-based investment process and attributes portfolio return to intuitive sector allocation and stock selection effects.
- However, attempts to extend it to more general investment processes expose basic limitations, primarily because it requires a strict classification of stocks by sector.
- To address this, the Wolfram Attribution Engine goes "Beyond Brinson" by offering a comprehensive Factor-Based Attribution.
- What appeared as "stock selection" in the classic Brinson model can now be attributed instead to contributions from a handful of style factors.
- By analyzing factors like Momentum, Volatility, Value, and Size, portfolio managers can prove that outperformance is driven by specific quantitative tilts rather than arbitrary luck.
Integrated Risk & Return
- Alignment of risk and performance attribution along the same decision variables is essential to properly evaluate the tradeoff between risk and return.
- The Wolfram Risk System employs the framework for aligning risk and performance attribution.
- This allows users to view Total Risk Contribution alongside Factor Volatility and Factor Correlation, ultimately yielding risk-adjusted metrics like the Information Ratio (IR) at the most granular level.
- By presenting both performance and risk attribution on the same unified screen, the Wolfram Risk System allows portfolio managers to continuously refine their investment process, doubling down on what works and unwinding inefficient risk.
INTELLIGENCE
RELATIONSHIPS
Market Correlations
Discover inter-asset relationships with our Correlation Analysis tool. Use our intuitive, color-coded correlation matrix to understand risk diversification and explore both ex-post (historical) and ex-ante (forecasted) data.
Options Analytics & The Greeks
Delve into the intricate world of options. Measure directional risk with Net Delta, time decay with Net Theta, convexity with Net Gamma, and volatility sensitivity with Net Vega under various shock scenarios.
Performance Attribution
Generate visual performance attribute charts to see how an options package influences P&L across various underlying price points both at expiration and on the current date.
INTEGRATION
API ACCESS
Harness the full power of the Wolfram Risk System directly within your own infrastructure. We offer comprehensive API access that allows you to retrieve the exact same data, analytics, and calculations as you would through our intuitive client application.
Data Parity
Ensure total consistency across your ecosystem. Everything you can visualize or configure in the front-end—from complex VaR simulations to granular performance attribution—can be queried programmatically via our API.
Automated Workflows
Integrate our analytics directly into your internal data pipelines, proprietary trading systems, or custom reporting dashboards. Automate the extraction of daily risk metrics, exposures, and what-if scenarios without manual intervention.