Service of Portfolio Analysis
The service is designed for evaluation of broker’s client portfolios containing stock and derivatives market instruments* and is based on several evaluation approaches.
At present, the service is mainly based on ‘costs of risk’ evaluation (Value at Risk, VaR).
* The calculation is available only for assets traded on the Moscow Exchange.
The service is available for all broker clients that have the corresponding rights.
- A broker’s client requests a portfolio analysis report from their QUIK Workstation.
- The QUIK server receives the request and forwards it to the computational core via the Report Generation Module. The server forwards only a portfolio without any parameters which may reveal clients’ personal data.
- The calculations are made by a software product of the QORT line in ARQA Technologies’ data center. ARQA Technologies receives and stores data needed for portfolio analysis.
- The calculated data is uploaded to the Report generation module.
- The completed report of portfolio analysis is sent to the client via the broker’s QUIK server.
Portfolio instruments that can be analyzed
- Options (vanilla, call and put)
Calculated parameters include
- Portfolio structure (instrument value, share in portfolio).
- Instrument yield over time, also compared to market.
- ‘Greeks’ for derivatives (Delta, Gamma, Vega).
- VaR for portfolio and various instruments (equities, bonds, derivative financial instruments):
- risk measure (%, rubles, contribution of instrument to portfolio risk),
- comparison of risk to market,
- probability of extreme price deviation.