Imagine Software has added Monte Carlo analysis to its risk module ensuring a higher level of portfolio control with simulations based on historical data.
The enhanced risk module allows companies to better understand and evaluate large portfolios of traded instruments based on historical risk levels.
"The ability to run Monte Carlo simulations, reflecting historical risk levels, specifically meets the needs of global hedge funds seeking to better understand the behaviour of portfolios under a range of price movements," said Dr Lance Smith, chief executive officer at Imagine Software. "It is at the core of our clients' strategy to calculate and analyze a variety of computation-intensive financial risks quickly to develop effective trading and hedging strategies."
Financial institutions use multiple methods to compute Value-at-Risk, each with their own merits. Monte Carlo consists of running a large number of scenarios based upon specified distributions. The historical approach uses historical data directly to evaluate portfolio risk. The benefits include a readily audited, factually based approach that naturally incorporates multiple risk factors.
Historical Monte Carlo analysis is available in Version 6.0.1 of the company's Imagine Trading System. With this enhancement, the system, available as a hosted service at Derivatives.com and as an enterprise application, builds on its highly sophisticated analytical and decisions support tools for real-time derivatives trading and risk management. Traders and risk managers can now examine exposures to shifting prices based on the simulation of historical market data, such as the Stock Market Crash of 1987.
Imagine recently ranked first in equity trading analytics in Risk Magazine's annual Technology Survey, and placed favourably in nine other categories. The company is the only vendor that offers a full-service hosted solution, providing the benefits of software on demand, which can be deployed immediately around the globe at minimal cost.
Background notes: Imagine Software is the leading provider of full-service hosted investment management solutions for the global financial industry. Its Imagine Trading System, available as an enterprise application and a hosted service at Derivatives.com, is a real-time derivatives trading, portfolio and risk management system that handles all asset types and multiple trading strategies. Developed specifically for institutional investing companies of all sizes, Imagine offers the only hosted service that provides software on demand, management of corporate actions and holdings, a complete security master, and access to independently maintained pricing inputs. Imagine serves thousands of users worldwide, delivers Reuters real-time data and provides RSA Security user-authentication.