🧊 SimCorp Dimension: Internal risk models and MSCI RiskMetrics interface trends

😏 SimCorp #IUCM2022 has been finished. And now, hopefully, you all brought home new insights and solutions for your business operations within SimCorp Dimension.

Today, I’d like to talk about Risk & Investment Forecasting domain.

It is represented by 5 main pillars:

1. Internal risk models (granular model)

2. Risk Metrics bridge (i.e. granular model)

3. Axioma bridge (multifactor model)

4. Solvency II regulation

5. Investment forecasting

β˜”οΈ 1.  Internal risk models

It is a classics within SimCorp Dimension, that provides such powerful Value-at-Risk (VaR) models in-house like Parametric, Monte-Carlo, Historical, including all kinds of standard, predictive & look back stress test scenarios as well as Ex-ante analytics. It’s a solid instrument in experienced hands especially for the customers who don’t hesitate to have strong analytical skills on board to provide the reliable, flexible, explainable and controllable VaR analytics. After all, if you manage to build and maintain the risk models in-house – it says a lot about your expertise level for your potential clients. Here it’s important to pay attention to data management, as internal models require solid data to be available & maintained accordingly.

Deliveries: IRF options & Hull-White recalibration parallel shock coverage, 3-Tier cloud architecture preparation

Expectations: Load balancing functionality for benchmarks and decomposition within Risk Measurement module, Simulated VaR models in Asset Manager, ESG factors integration

πŸŒ‰ 2. RiskMetrics bridge

MSCI Risk Metrics has been provided a best-of-breed solution for granular risk models (based on risk factor mapping to parameters that participate in valuation of each financial instrument, including risk factor values, sensitivities and correlations) for years. The advantage here is in data management: in case Risk Metrics is chosen as a risk figures provider – then it is MSCI who will take care of all related data volumes and horizons, required to produce the expected & reliable VaR figures. Pay attention here to instrument coverage level, that has to be checked & aligned with your expectations carefully.

Deliveries: enhancements related to coverage of US MBS Pools, TBA, dual currency bonds, CFD baskets, Inflation YoY swap, Index swap, fund certificate, MSCI’s asset liquidity risk solution (required by regulations)

Expectations: further instruments coverage extension

πŸ‘“ We’ll disclose the (3. Axioma bridge), (4. Solvency II) & (5. Investment forecasting) Dimension solutions trends in the following posts on our website and Unitso – SimCorp Dimension Expertise Group.

πŸš€ Life is not endless to spend it on manual calculations in Excel. It’s time to focus on shaping the future, whereas Unitso is focused on automating your business operations in Dimension successfully.