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.

Operating principle

The service is available for all broker clients that have the corresponding rights.

  1. A broker’s client requests a portfolio analysis report from their QUIK Workstation.
  2. 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.
  3. 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.
  4. The calculated data is uploaded to the Report generation module.
  5. The completed report of portfolio analysis is sent to the client via the broker’s QUIK server.

Connection scheme

var_service eng.png

Portfolio instruments that can be analyzed

  • Equities
  • Bonds
  • Futures
  • Options (vanilla, call and put)
The instruments may be quoted in rubles and foreign currency. Long and short positions are allowed in portfolios.

Calculated parameters include

  1. Portfolio structure (instrument value, share in portfolio).
  2. Instrument yield over time, also compared to market.
  3. ‘Greeks’ for derivatives (Delta, Gamma, Vega).
  1. 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.

Hardware and software requirements

The service links to the broker’s QUIK server as an incoming connection. It operates on managed service basis in the ARQA Technologies data centre. If the broker’s QUIK configuration includes the Report generation module the service does not require any additional modules.
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