AQMetrics powerful multi-asset class risk analytics and reporting platform supports our clients from risk appetite framework definition through risk monitoring, control and reporting. It gives clients a common language to use in identifying and communicating about the sources of market, credit, liquidity and counterparty risk to regulators, boards and shareholders alike. Throughout the process, clients can benefit from a single golden source of data and reconciliation process for both risk and regulatory reporting.
Risk Analytics and Insights
VaR provides a general measure of economic loss that can equate risk across products and aggregate risk on a portfolio basis. AQMetrics risk insights uses AQMetrics VaR analytics to calculate the predicted worst-case loss at a specific confidence level (e.g., 95%) over a certain period of time (e.g., 1 day). AQMetrics VaR analytics work on multiple levels from the position-specific micro level to the portfolio-based macro level. AQMetrics VaR parametric, historical and monte-carlo VaR insights are used by clients to communicate about aggregate risk taking, both within their organization and to outside regulators, and shareholders.
AQMetrics sensitivity analysis provides first and second order analytics of the Greeks across multiple asset classes. For Equities, AQMetrics calculates Beta, Delta, Gamma, Vega and Theta. For Sovereign, Interest Rate and Credit instruments AQMetrics calculates Gamma, Vega, Theta, CS01 and DV01. For Convertibles, AQMetrics calculates Beta, Delta, Gamma, Vega, Theta, CS01 and DV01. For Currencies and Commodities, Delta, Gamma, Vega and Theta are calculated in AQMetrics risk analytics engine 'Quant'.
AQMetrics risk insights are based on single factor stress tests, such as a % move in an asset class or portfolio composition and historical stress tests. Standard stress tests include the Tech Bubble (15th March to 14th April 2000), September 11th (10th to 17th September 2000), Credit Event 1 (23rd August to 9th October 2002), Gulf War 2 (1st to 21st March 2003), Subprime crisis (16th July to 16th August 2007) and Credit Event 2 (12th September to 15th October 2008).In addition, AQMetrics Customer Success team consists of a number of Quants who help Customers define and developed bespoke stress tests on the AQMetrics platform.
In addition to quantitative risk analytics across VaR, Sensitivity Analysis and Stress Testing, AQMetrics also provides qualitative risk insights through its online risk register. Using AQMetrics risk register customers classify and measure qualitative risks in the AQMetrics platform. Once captured in the platform the risks can be maintained overtime and combined with quantitative measures to get a holistic view of risk across a firm.