StatPro Revolution now allows for global exposure and liquidity monitoring. For those with UCITS funds this will aid compliance with the UCITS IV regulation.
Avaliable in the StatPro Revolution App Store, and priced on a per portfolio subscription, the Global Exposure and Liquidity Monitoring module features a traffic light approach used to identify early warnings and breaches.
Using the VaR methodology, this daily tool enables the risk and compliance community to:
• Establish, implement and maintain a documented system of internal limits concerning the measures used to manage and control the relevant risks
• Conduct a rigorous, comprehensive and risk-adequate stress testing programme
• Monitor the accuracy and performance of its VaR model, by conducting a back testing programme
• Comment on and export daily risk reports, breaches and warnings
• Compute the leverage
• Monitor the liquidity risk of the assets included in the portfolio
The main dashboard provides an overview of each portfolio’s VaR and liquidity risk together with stress tests and back testing. Users can set their own parameters so that warnings appear in amber and breaches appear in red when limits are reached or exceeded. The module keeps a validation history of the risk manager’s actions and comments on warnings or breaches that have been flagged. From the dashboard users can drill down into individual portfolios and produce risk reports.
StatPro group chief executive Justin Wheatley says: “The new UCITS risk monitoring module is a breakthrough for fund managers that need to be UCITS IV compliant. Previously UCITS risk monitoring was very complicated and expensive. Now it is a plug and play solution at a great price. Our clients love it.”