Model Risk

Numeraxial Model Risk service provides assessment of analytic discrepancies of your investment models to enhance the performance of your model. Advanced modeling techniques of portfolio management, operations and execution.

The service features include:

  • High performance computational capabilities.
  • Instrument selection
  • Vehicles book management system. This service will improve user investment return, and lower their operational cost.
  • Model Management service is suitable to a variety of institutions and operational service-related industries, such as the public sector 401K management, banks, insurances and asset management firms.

Stress Testing

Historical Events

The Stress Testing method is used to identify potential losses due to extreme event-related conditions that might not have been captured by standard Value at Risk VaR analysis. In our library, we consider two groups of historical events: moderate and severe.


MODERATE

Currency Sell Off Bond Sell off Other Sell Off
1 09/15/92 British pound sell-off 1981 Bond Crash 1973 Oil Crisis
2 01/23/97 Mex Peso Devaluation 1998 Russian devaluation Mexican Credit Crisis 1990
3 01/15/2015 Swiss Franc flash crash US Gov't Bond sell-off Enron Failure

SEVERE

Equity Sell Off Bond Sell Off Technical Glitches
1 10/1987 Black Monday 10/27/1997 Asian Financial Crisis May 10,2010 Flash Crash
2 2000 Dot com Bubble 2012 Greek crisis 2012 Facebook IPO
3 2008-2009 Financial Crisis LTCM 08/2012 Knight Capital Partners

Risk Reporting Level

Corporate Level

Business Unit Level

Trading Desk Level