PortfolioBrowser® is quite an ambitious product that integrates achievements from the 1994 VaR to the latest technologies in one package. New functions, such as potential exposure and scenario shock editor will be added soon. For a functional comparison with CreditMetrics® and CreditRisk+, click here. Functional Comparison PortfolioBrowser® CreditBrowser® Market risk Variance covariance Monte Carlo Only for stocks Historical Stress (Auto-acquire & apply the max. width during the specified period) Credit risk Theory Merton [1974] (sim.) Merton [1974] (sim.) Double exp. cont. distr. (MTB model) Rollover For short-term credit As for PortfolioBrowser Match w/ accounting Sim. of reserve for potential insolvency As for PortfolioBrowser Risk indicator VaR Conditional VaR (Tail VaR) Risk contribution Additive algorithm for risk capital reallocation. Multiple meth. avail. As for PortfolioBrowser Component VaR (Equivalent to VaR delta in parametric VaR except for the capability of the component VaR to acquire nonlinear risk due to simulation approach.) Others Marginal VaR / CVaR, RAROC, RAROA, etc. As for PortfolioBrowser Simulation engine Random number generator Selectable from Mersenne Twister & Numerical Recipes ran2. As for PortfolioBrowser Convergence properties Quadratic resampling & probability matching As for PortfolioBrowser Simple Monte Carlo Principal component Monte Carlo Simple / Variance-based / Correlation-based mode selectable by risk fac. seq.. Historical Simple / Antithetic mode selectable. Multi-period simulation Absorptive Marcov chain; 10 combinations from 1 day to 30 yrs (user-definable). Absorptive Marcov chain; up to 30 yrs by units of one yr. Scenario simulation Drift (or expected growth rate) enterable by risk factor, country / sector, & index. As for PortfolioBrowser MTM (mark-to-market) MTM simulation Multiple meth. selectable. As for PortfolioBrowser Credit spread - input of external data Credit spread - internal calculation For loans of which spreads are difficult to observe. As for PortfolioBrowser Calc. of theoretical market value The accounting / valuation date specifiable. Only specific dates depending on the input data. DM (default Mode) DM simulation Multiple meth. selectable. As for PortfolioBrowser Correlation estimation (external input) Between risk factors Between countries / sectors Economic indicators Capital / business relationship Up to 3 parent companies by corporation (=obligor) As for PortfolioBrowser Correlation estimation (internal calculation) Simple moving average 1 to 10 years Linear weighted moving average 1 to 10 years Exponential moving average Lambda=0.94, 0.97, 0.99 Sampling Box-car / Moving-windows on the daily, wkly, biwkly, & monthly bases Stock / Creditworthiness Selectable fm. internal cal. / robust regression for beta, R2, and Epsiron Loss given in default (LGD) Fixed rate Beta distribution Truncated normal distribution Indexed movement Specifiable (e.g., property prices) As for PortfolioBrowser Guarantor Up to 6 guarantors specifiable As for PortfolioBrowser Market time-series database External DB connectivity SQL statement embedded in the def. file, providing free manipulation at the SQL level. Imputation Auto-process within the syst. by the prefix complement & grid linear interpolation meth. Alternative sequence connectivity Forward/Backward complement specifiable for each sequence Modification coefficient application Support for the ex-dividend, ex-right, & exchange-rate depr. events OLAP (multi-dimensional database) Obligor basis Offer analysis for up to 4 layers by various keys As for PortfolioBrowser Transaction basis Offer analysis up to 4 layers by various keys As for PortfolioBrowser Language support English Japanese System architecture Configuration Client / server system Client / server system Scalability Small to large Small to large Parallel processing Multi-thread (scalability validated on the 64-CPU mach.) As for PortfolioBrowser Hardware platform HP Tru64 UNIX, Sun Solaris, HP-UX, Linux, Windows 2000/2003 Server as server, Windows 2000/XP PCs as client As for PortfolioBrowser ; available/selectable, ; not available Articles and Freeware We provide lots of open documents describing various topics regarding financial risk management, system development, and numerical calculation. Click here for the contents. Should you need it in printed form, please ask us by e-mail. Our freeware of multivariate Monte Carlo NtRand for Microsoft Excel add-in which implements Mersenne Twister, a pseudorandom number generator of far longer period and far higher order of equidistribution than any other implemented generators (proved that the period is 219937-1, and 623-dimensional equidistribution property is assured), is also downloadable. A practical Monte Carlo value at risk (VaR) system can be built, if it is on a smaller scale, just using the Excel with NtRand. Just give it a try if you are intrigued in multivariate Monte Carlo simulation and moment matching method.

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