Technology

• Overview
• Risk Ticker
• Risk Ticker Factory
• Methodology

Risk Ticker Factory

Risk Tickers are generated, along with Basel Committee and FAS 133 recommendations, through a production process similar to that followed by financial institutions that adopted the Monte-Carlo approach.

Market data (more than 600 000 prices) is collected daily, via multiple-source data snapshots and an initial data clean is performed, including asset operations (corporate actions, etc...). Then risk factors are computed and stored in historical data files. The next step is the computation of joint statistics and the generation of Monte-Carlo series for each risk factor. Finally, assets are re-priced in each single path and Risk Tickers are placed on the server. The last phases are repeated for each horizon period.

Our interactive factor expansion mechanism allows each client to send its own historical series to the central host to transform them into Risk Tickers and assure their consistency with the whole Risk Ticker universe.

“Much of what distinguishes modern economies from those of the past is the new ability to identify risk, to measure it, to appreciate its consequences, and to take action accordingly.”

Michel Crouhy, Dan Galai, and Robert Mark
The Essentials of Risk Management