Design a purpose-fit stress test
Axioma RiskTM offers the flexibility to construct standard instantaneous shocks on single as well as multiple factors, varying each model parameter and selecting different lookback periods for correlated stress tests. Walk through a historical period or multiple periods one day at a time to capture the observed path-dependent association of your portfolio to selected factors. And, with granular or factor risk model choices, you can decompose your portfolio’s sensitivities at a level that is aligned with your investment process.
As an open platform, you can load one of Qontigo’s leading factor risk models or your own in order to understand the sensitivities related to macroeconomic, geopolitical, market and other events.
Our stress testing framework is embedded within our enterprise portfolio risk management system Axioma Risk and can be used for:
Complementing traditional risk models
Highlight hidden exposures and vulnerabilities by shocking variables, which are unrelated to the portfolio
Full repricing of the portfolio without assumptions about distributions or first-order approximations
Expected shortfall analysis
View at the holding, parent or portfolio level to see the impact on a standalone, sub-group or total portfolio level
Store your historical stress test and templates to modify stress tests without having to start from scratch
Modeling hedge funds
A regression tool coupled with factor libraries allow you to identify factor sensitivities for a fund without the holdings information
Flexible, multi-asset, market risk management
A cloud-native, flexible system offering analytics and data in a unified platform for a consistent view across your firm.
Axioma Equity Factor Risk Models
Comprehensive analysis with multiple views of risk
Risk management, performance attribution and portfolio construction through a suite of fundamental, statistical and macroeconomic variants.
Axioma Credit Spread Factor Risk Model
Construct investment portfolios with better top-down risk analysis
Powered by proprietary methodologies for defining debt-issuing entities and modeling issuer spread returns.
Axioma Multi-Asset Class Risk Model
A unified view across your entire cross-asset portfolio
Easily switch between a holistic view and a singular asset deep dive to gain a better understanding of risk and performance.