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Morley extends use of FinAnalytica Cognity platform

12 December 2007  |  1758 views  |  0 Source: FinAnalytica

FinAnalytica, the only provider of risk management and portfolio construction analytics based on stable distribution methods, today announced that Morley has expanded its use of Cognity for risk measurement and reporting on their fixed income, convertible bond and credit portfolios.

Cognity provides Morley with risk breakdown and attribution across the full return distribution of their portfolios. Using patent pending stable distribution methods, Cognity calculates Expected Tail Loss (ETL), a downside risk measure that accounts for fat-tails and asymmetry in returns and quantifies risk more accurately than VaR. Cognity risk reports compare ETL versus VaR and provide risk breakdown at all levels of the user defined risk model including multiple asset classes, multiple currencies, geography, industry and style.

According to Julie Johnson, Head of Portfolio Risk at Morley, "Given the accuracy of the heavy-tailed risk calculations and the detailed risk factor decomposition, our portfolio managers now have a better view of their risk. Morley has decided to expand our use of Cognity to some additional fixed income and credit portfolios where the complexity of the instruments used makes the use of other risk systems inappropriate."

"We are pleased that Morley derives significant value from Cognity and is expanding their use," said Stephen Elston, President of FinAnalytica. "Cognity users are ahead of their peers by adopting our new modern approach to estimating down side risk."

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