Visual Numerics, a leading provider of numerical analysis and visualization software, announced today that RiskMetrics Group, a leading provider of risk management and corporate governance services to the global financial community, will utilize its JMSL Numerical Library to enhance the financial stress testing functionality of its Portfolio Pilot application.
RiskMetrics' Portfolio Pilot is an analytics solution that enables portfolio managers to design, test and optimize their investment strategies before risking trading capital.
RiskMetrics' stress testing capability embedded in Portfolio Pilot allows portfolio managers to simulate multiple combinations of events to determine their potential impacts on the overall portfolio. For example, portfolio managers using the stress testing tools can simulate historical stress events, such as the Asian market crisis of 1997 or create their own theoretical stress events, such as a 10 percent spike in the price per barrel of oil, with the goal of modeling portfolio performance under a variety of market conditions.
The addition of the JMSL Library Optimization Functions helps portfolio managers optimize a trading strategy based on their portfolios' responses to these stress test simulations. The new optimization tool will allow users to identify such variables as the efficient frontier and the maximum return achievable for any feasible level of risk.
"Amidst increased market volatility over the past year, we have seen an increase in interest in stress testing among our asset management clients," said Peter Benson, RiskMetrics Group's Americas Manager for Front Office Products and Services. "The addition of the JMSL Library enables us to take our modeling capabilities even further, helping clients to determine an optimal allocation strategy based on a comprehensive view of their total risk exposure."
"For years, customers in the financial services industry have used functions in the IMSL Numerical Libraries to solve risk management, optimization, forecasting, fixed income analysis and other problems," said Andy McClure, director of North American sales, Visual Numerics. "We're pleased to see RiskMetrics Group extending Portfolio Pilot into new areas like stress testing to offer their customers the very best analytical tools for optimization and risk management."