home>/ Solutions

Risk Back-Testing

  • Reporting over any user selected time period
  • Automatic treatment of assets with missing data
  • Ability to save all underlying risk reports for any date of the back testing period
  • Summary report by both portfolio level and position level including:
    • Evaluation Date
    • Returns
    • VaR and ETL
    • Incremental VaR and ETL
    • Exceedances
  • Detailed risk report for each back test date
  • Report containing more than 20 return, risk and risk-adjusted performance statistics on realized portfolio returns