Risk Measurement & Attribution

 

Subroutine library for risk measurement and

attribution for equity portfolios.

Features

The Risk Measurement & Attribution subroutine library and software components are designed for building in-house systems in conjunction with any type of equity factor model. You can use them to:

• Predict active portfolio risk, i.e., portfolio risk relative to a benchmark or normal portfolio.
• Attribute active portfolio risk to market exposure.
• Attribute active portfolio risk industry factors.
• Attribute active portfolio risk to other fundamental factors, such as company size, book/price ratio, etc.
• Attribute active portfolio risk to macroeconomic factors.
• Attribute active portfolio risk to statistical factors.
• Attribute active portfolio risk to company specific factors.

Limits

None

Operating Environments

The following combinations of computer platforms, libraries and languages are supported:

• Dynamic link library (DLL) for Windows, for use with C/C++, Visual Basic, or Fortran.

 

Internet and Intranet Systems

The C/C++ subroutine library is thread-safe. You can encapsulate it with a C/C++ wrapper to build Internet and Intranet systems for Windows.

Consulting

Financiometrics Inc. offers consulting services for building in-house systems that incorporate the Risk Measurement & Attribution subroutine libraries.

Copyright (C) 1992-2007 Financiometrics Inc.