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Cognity Overview

  • Standard and Post-modern Risk Measures

Along with classical performance measures including volatility, tracking error, beta, VaR, MCTR and PCTR, Cognity's downside framework integrates fat-tailed measures including fat-tailed VaR, fat-tailed ETL, marginal contribution to ETL, percent contribution to ETL and ETL-based implied return. 

  • Risk Backtesting

Cognity measures portfolio risk evolution by VaR or ETL over any user selected time period with drill down into sub-portfolios, positions or any level of factor risk. Comparing different risk measures over time provides an early warning indicator on potential changes in the market structure and the risk trends, as well as to identify dangerous changes in the holdings or factor exposures of portfolios.

  • Flexible Risk Models

Cognity currently offers statistical factor models (known as “factor analysis”) and time series factor models in a framework that allows combinations of the two. Thus, a combination of observable and unobservable factors can be utilized to best explain and decompose portfolio risk. These factor models are fully integrated within the market risk module and can therefore utilize the fat-tailed distributions framework. The end result is better explanatory power through more accurate modeling of factor and specific risk.

  • Stress Tests

Cognity has powerful stress testing capabilities which enable the application of crisis scenarios to asset and factor correlations, factor exposures, simulation scenarios and distribution parameters.

  • Wide and Rapidly Expanding Asset Class Coverage

Cognity covers equities, fixed income, derivatives, FX, and credit products. New asset class calculators are regularly developed by FinAnalytica or supplied through integration with external vendors such as FinCad. A Web Services API is also available for interfacing with other valuation libraries.  

  • Speed & Scalability

Cognity's post-modern methodology is implemented with a focus on handling very large portfolio and risk models, accurate parameter estimation, speed and scalability. Client installations process more than 30,000 risk variables and portfolios of 60,000-100,000 positions. Most calculations have distributed computing algorithms for enhanced speed.

  • Custom Work Group Environment

Cognity is a shared database environment for data, portfolios, risk models, calculations and reports. In addition to permissioned access, work groups can have tailored work flows and user interfaces to match specific roles.

  • Flexible Reporting

Cognity provides extensive interactive drilldown reporting with both tabular and graphical displays. Reports are easily customized, formatted and exported to Excel.

  • Automation

Cognity calculations can be combined into projects and run automatically through a batch processing facility.