The new SRM v 5.0 allows users to produce a richer analysis of market and credit risk at all levels in the asset management firm. A new user interface gives more flexibility, whilst the introduction of charts allows users to better visualize their risk. Approximately 1000 ‘stress tests’ and sensitivity scenarios have been generated in order to analyze risk under a large variety of potentially extreme market conditions.
SRM v 5.0 builds upon the new credit model, incorporating credit event risk inside the StatPro Simulation Model. By reading current implicit default probabilities and recovery rates from CDS curves, the StatPro Simulation Model regenerates the expected distributions of return on a daily basis, incorporating the most recent market information from the credit market.
Dario Cintioli, global head of risk at StatPro Group, said: The market turmoil reinforces the need for strong risk management tools built upon value at risk and portfolio sensitivity analysis. The quality of our integrated market and credit risk model, even in volatile markets, is the main value of SRM v 5.0.
