Advanced Portfolio Risk Management

TRAC: Overview

TRAC is an application for Risk Control of Investment Portfolios. Fully integrated with RD Sistemas applications, it is primarily designed to provide the calculation, monitoring and control elements required for a proper risk assessment. It features parametric and historical VaR calculation, CVaR, stress testing and back testing, pricing and profitability/risk ratios.

TRAC is available for Management Companies of IICs, Management Companies for Pension Funds / EPSVs / Insurance, Securities Dealer Companies and Brokerage Houses / Private Banking and Mutual Companies.

MAIN FEATURES

• Automatically performs the calculation of parametric and historical VaR, CVaR, Stress-testing and Back-testing, valuation of OTC's and profitability/risk ratios.
• Features real-time simulation processes running on real or test portfolios (model, benchmarking).
• Analyses standard instruments or advanced derivatives.
• Automatic capture of instrument and currency prices, definitions of instruments, issuing terms, third-party data, historical series, instruments and issuer ratings, deltas, IRR curves, etc.
• Saves the risk parameter curve of each portfolio to file.
• Provides different risk sensitivity measures for different instruments: Marginal VaR and VaR.
• Automatically captures instrument prices and currencies, definitions of instruments, historical series, ratings, deltas and IRR curves.
• OTC assessment.