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PortfolioBrowser® |
CreditBrowser® |
| Market risk |
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Variance covariance |
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Monte Carlo |
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Only for stocks |
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Historical |
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Stress |
(Auto-acquire
& apply the max. width during the specified period) |
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| Credit risk |
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Theory |
Merton [1974] (sim.) |
Merton [1974] (sim.) Double exp. cont. distr. (MTB model) |
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Rollover |
For short-term credit |
As for PortfolioBrowser |
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Match w/ accounting |
Sim. of reserve for potential insolvency |
As for PortfolioBrowser |
| Risk indicator |
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VaR |
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Conditional VaR (Tail VaR) |
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Risk contribution |
Additive algorithm for risk capital reallocation. Multiple meth. avail. |
As for PortfolioBrowser |
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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.) |
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Others |
Marginal VaR / CVaR, RAROC, RAROA, etc. |
As for PortfolioBrowser |
| Simulation engine |
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Random number generator |
Selectable from Mersenne Twister & Numerical Recipes ran2. |
As for PortfolioBrowser |
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Convergence properties |
Quadratic resampling & probability matching |
As for PortfolioBrowser |
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Simple Monte Carlo |
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Principal component Monte Carlo |
Simple / Variance-based / Correlation-based mode selectable by risk fac.
seq.. |
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Historical |
Simple / Antithetic mode selectable. |
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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. |
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Scenario simulation |
Drift (or expected growth rate) enterable by risk factor, country / sector, & index. |
As for PortfolioBrowser |
| MTM (mark-to-market) |
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MTM simulation |
Multiple meth. selectable. |
As for PortfolioBrowser |
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Credit spread - input of external data |
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Credit spread - internal calculation |
For loans of which spreads are difficult to observe. |
As for PortfolioBrowser |
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Calc. of theoretical market value |
The accounting / valuation date specifiable. |
Only specific dates depending on the input data. |
| DM (default Mode) |
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DM simulation |
Multiple meth. selectable. |
As for PortfolioBrowser |
| Correlation estimation (external input) |
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Between risk factors |
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Between countries / sectors |
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Economic indicators |
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Capital / business relationship |
Up to 3 parent companies by corporation (=obligor) |
As for PortfolioBrowser |
| Correlation estimation (internal calculation) |
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Simple moving average |
1 to 10 years |
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Linear weighted moving average |
1 to 10 years |
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Exponential moving average |
Lambda=0.94, 0.97, 0.99 |
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Sampling |
Box-car / Moving-windows on the daily, wkly, biwkly, & monthly bases |
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Stock / Creditworthiness |
Selectable fm. internal cal. / robust regression for beta, R2, and Epsiron |
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| Loss given in default (LGD) |
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Fixed rate |
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Beta distribution |
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Truncated normal distribution |
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Indexed movement |
Specifiable (e.g., property prices) |
As for PortfolioBrowser |
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Guarantor |
Up to 6 guarantors specifiable |
As for PortfolioBrowser |
| Market time-series database |
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External DB connectivity |
SQL statement embedded in the def. file, providing free manipulation at the SQL level. |
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Imputation |
Auto-process within the syst. by the prefix complement & grid linear interpolation meth. |
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Alternative sequence connectivity |
Forward/Backward complement specifiable for each sequence |
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Modification coefficient application |
Support for the ex-dividend, ex-right, & exchange-rate depr. events |
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| OLAP (multi-dimensional database) |
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Obligor basis |
Offer analysis for up to 4 layers by various keys |
As for PortfolioBrowser |
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Transaction basis |
Offer analysis up to 4 layers by various keys |
As for PortfolioBrowser |
| Language support |
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English |
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Japanese |
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| System architecture |
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Configuration |
Client / server system |
Client / server system |
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Scalability |
Small to large |
Small to large |
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Parallel processing |
Multi-thread (scalability validated on the 64-CPU mach.) |
As for PortfolioBrowser |
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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 |