• Can I perform a ‘What-If’ analysis on ActiveMargin™? |
|
Yes. ActiveMargin™ provides a very sophisticated what-if analyzer. The user can enter a hypothetical portfolio, and analyze the contribution to risk of different risk factors. The user can change the following :
- Weights of securities in a portfolio
- Add new securities in a portfolio
- Change the confidence level
- Shifts in yield curve
The screen shot below shows one of the what-if analysis screens that permits to user to define new positions, or change existing positions, as also vary the confidence level for the risk measurement. This screen also indicates (not shown in the screen shot) the diversification benefit of each instrument in the portfolio of the entity being analyzed. Please notice that the what-if screen is an integrated screen, across all asset classes, and permits, if so defined, diversification benefits across any of these asset classes. Click here to view screen shot 
|
|
| • Can ActiveMargin™ handle what-if analysis, where the yield curve change is not a parallel shift? |
|
ActiveMargin™ provide for a very generalized yield curve change analysis.The yield curve can be shifted by a fixed number of basis points, but more importantly, the yield curve can be changed at different points differently, entirely at the user’s discretion. The screen shot below shows a yield curve shift of 100 bp only at maturities above 3 months.
Click here to view screen shot
|
|
|
|
|
