EVERYSK
RISK ENGINE

Stress testing, factor modeling and
risk attribution for global, multi-asset portfolios.



An advanced portfolio simulator to help you design
investment programs that can withstand various market scenarios.



Simulation Steps:


Map Securities

1) Map each security to one or more risk invariants, such as: rates, currencies, credit spreads and underlying.

Covariance Matrix

2) Build a covariance matrix using modern statistical techniques, preserving only strong causality.

Monte Carlo Simulation

3) Generate Monte Carlo simulations for normal/log-normal risk invariants.

Fully Reprice Securities

4) Fully reprice each security in a near horizon and compute profit and loss distribution.

Extract Properties

5) Extract security-level risk properties from profit and loss distributions, such as Conditional Value at Risk (CVaR).


Risk Measures:


Everysk computes dozens of risk measures per security (bottom-up) or per factor (top-down). The main simulated ones are:



  • Marginal Contribution to Total Risk (MCTR): measures the contribution to risk from the security or factor. Risk can be volatility or Value-at-Risk (VaR).
  • Conditional Value-at-Risk (CVaR-): measures the expected profit and loss for the worst simulated outcomes. Represents a "worst case" scenario. Also known as Expected Shortfall.
  • Conditional Value-at-Risk (CVaR+): measures the expected profit and loss for the best simulated outcomes. Represents a "best case" scenario.
  • Expected Value (EV): measures the expected profit and loss for the full distribution of simulated outcomes. Represents a "base case" scenario.
Measures


Additionally, our Risk Engine can compute dozens of security Greeks and returns-based metrics:


Greeks:

Delta, Vega, Gamma, Theta, Convexity, Notional Duration, CS01, Risk Weighted Implied Rating, Risk Weighted Implied Duration and others.

Returns-Based:

Maximum Drawdown, Positive and Negative Streaks, Standard and Downside Deviations, Sharpe and Sortino Ratios, Alpha, Beta, Correlation, R2 and others.



Transitivity in Stress Testing:


Exogenous market shocks tend to propagate and impact all securities in your portfolio.

No Transitivity

Most systems are designed to calculate the impact in a localized manner: interest rate scenarios affect only fixed income, equity scenarios affect only equities.

Transitivity

Everysk calculates full propagation, allowing money managers to probe scenarios in a more reliable fashion and avoid losses.



Data Structure:

  • Efficient data structures to perform bottom-up risk aggregation and top-down factor modeling.
  • Risks at the security level can be aggregated into GICS sectors, security types, countries-of-risk, liquidity, market capitalization, customized labels, implied rating, duration buckets and dividend yield buckets.
  • Both security and factor risk concentrations add up to total portfolio risk, making it easier to understand each component.
Data Structure


Financial Data:

Financial Data
  • Everysk is integrated with many brokers and administrators. Integrations have smart logic to reconcile positions from multiple sources.
  • Positions, margin and cash are automatically mapped and normalized into tagged and dated portfolios.
  • Market, company, reference and alternative data are converted into high-value, actionable portfolio analytics.


Customizable:

  • Flexible symbology allowing for custom bonds, futures or options to be created for further analysis.
  • Design your own factor model on the fly. Everysk will automatically compute the explanatory power of your factors and the amount of residual risk.
  • Efficiently upload your own alternative datasets using Everysk's custom integrations.
Customizable


ASSET COVERAGE

90

Exchanges

200K

Global Equities

+ETFs

+Mutual Funds

+Equity Options

40

Currencies

+Crypto Currencies

+FX Forwards

+FX Options

Corporate Bonds

+Term Loan

+Convertible Bonds

+Convertible Preferred Bonds

+Exchangeable Bonds

+Credit Default Swaps

+Warrants


Indices

+Index Options

Government Bonds

+Interest Rate Swaps

+Muni Bonds

Futures

+Future Options

Hedge Funds

+Hedge Fund Indices





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Formulas behind our portfolio simulator


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Everysk White Paper