Portfolio risk

The term risk as used within the context of the Aladdin platform may refer to

• single security risk sensitivities such as DV01, duration or greeks for equity-like securities
• portfolio VaR, where risk can refer to tracking error (TE), active risk (CAR), equity risk (CER) or any of the other variants (e.g. HVaR)
• the overnight production process that computes security level analytics (including risk sensitivity measures and portfolio VaR type risk)

Its therefore important to ascertain the context in which the term risk is being used.

Risk tools

Several applications utilise and display portfolio risk information, with varying degrees of interactivity and intended use cases.

Portfolio Risk Tools (PRT)

PRT is the central application for portfolio risk. It is primarily portfolio driven, but will also allow the processing of single security identifiers and compute risk for security composition (i.e. an on-the-fly portfolio composed with security identifiers and associated weights)

See the link to exposure application explore