Understand your portfolio’s true risk.
Measure volatility and tracking error, capture risk at the tail ends of distribution, and analyze market risk, liquidity risk, and credit risk with the model that fits your investment style. Choose the model that matches your investment process with unified, integrated risk models from FactSet/Cognity, third-party providers, or your own custom models.
Use a Monte Carlo or historical simulation approach with non-linear repricing to analyze multi-asset class portfolios. Focus on benchmark relative and identify risk hot spots with models with a linear approach. Choose normal or fat-tail distribution assumptions to accurately capture factor, asset, and portfolio dynamics.