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Markit Upgrades Portfolio Valuations Service with VaR and Stress Testing

The data provider added risk and scenario analysis tools to is Portfolio Valuations Service.

Markit has added a range of risk and scenario analysis tools to its Portfolio Valuations service, enabling customers to receive independent value-at-risk (VaR) and stress testing results that are consistent with their mark-to-market valuations.

The new functionality will allow for compliance with international regulations, the company said this morning.

“A key challenge for buy-side firms is to ensure that the market data and pricing models driving their net asset valuations are consistent with those used as part of their risk calculations,” said Nigel Cairns, Managing Director and Global Head of Analytics and Portfolio Valuations at Markit, in today’s announcement. “The combination of Markit’s standardized cross-asset datasets with our powerful risk calculation engine enables customers to measure liquidity, funding and market risk more accurately and efficiently.”

The new tools available as part of Markit Portfolio Valuations include a scenario analysis service, which enables customers to stress test the market data inputs used to generate their valuations. In addition, a new Risk Analysis platform provides a fully hosted solution for calculating the market risk within a portfolio of trades. Market risk calculations are based on Markit’s proven risk simulation engine developed in-house and used by leading global financial institutions.

Later this year, Markit Portfolio Valuations will provide a PnL attribution service that will give customers a full breakdown of the change in the mark-to-market value of a trade according to various risk factors including market data, model parameters and trade events, the company said.

Ivy is Editor-at-Large for Advanced Trading and Wall Street & Technology. Ivy is responsible for writing in-depth feature articles, daily blogs and news articles with a focus on automated trading in the capital markets. As an industry expert, Ivy has reported on a myriad ... View Full Bio

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