Deutsche Börse extends portfolio risk measurement toolkit
25 November 2008 | 1500 views | 0
Source: Deutsche Börse
Deutsche Börse is expanding its information offering to include the SENSIS data product, which supplies investors and investment advisors with objective key indicators for systematic risk measurement of investments. SENSIS reflects the risk characteristics for individual securities to entire investment portfolios.
"With the SENSIS key indicators, investors can very easily decide which securities match the desired risk profile and should be included in the portfolio, and which ones should be removed. Fund managers, advisors and investors can now perform professional risk management similar to large banks and insurance companies, without having to buy complex and expensive software," said Holger Wohlenberg, Managing Director of Deutsche Börse Market Data & Analytics.
SENSIS key risk figures (also known as sensitivity analyses) are calculated for each security on ISIN basis. Influential risk factors such as currencies, interest rates and commodity prices are used in the calculation. The customer receives up to 30 indicators per single security. This enables the identification of critical components in the portfolio that either increase
investment risk or distort diversification. The expanded data package contains additional parameters of unsystematic risk for simplified determination of value at risk, the standard risk measure in finance. Customers can specify individual risk parameters to be taken into account in the calculation.
In cooperation with Private Banking Prüfinstanz, Deutsche Börse Market Data & Analytics has successfully used SENSIS to analyze portfolio recommendations from 15 asset managers. The results are summarized in the FUCHSBRIEFE report "Tops 2009: Providing for your family - asset management in the FUCHSBRIEFE test".
The SENSIS data product is available for downloading via an FTP server by subscription. The data is updated on a daily basis.