Gain an accurate view of market risk exposures across your portfolios
IHS Markit offers a hosted, post-trade risk calculation service that provides the buyside an accurate view of market risk exposures across their portfolios, in addition to the standard sensitivity measures provided with each mark-to-market valuation.
Our fully hosted risk analysis service calculates VaR using our extensive risk simulation engine, which is used by leading investment banks. To ensure consistency in the market data driving valuations and risk, we use existing market data capture and cleaning processes to drive risk calculations. Risk pricing models are consistent with our in-house library of pricing models, accurately calibrated to market consensus levels.
Customers have the flexibility to define:
- VaR methodology (Monte Carlo or historical)
- Confidence interval and time horizon
- Risk factor simulation models (GBM or mean reversion)
- Simulation parameters (number of scenarios and weighting for historical returns)
- Look-back period and observation frequency (for historical VaR only)
- Frequency of the VaR reports