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Portfolio Analytics & Reporting

Release 25.07

Internal risk module

Axioma Stress test analytics in Asset Manager

It is possible to include Stress test analytics calculated by Axioma in your Asset Manager analytics view. The definition of the stress test scenarios and calculation of the original and shocked unit prices and FX rates are performed in the Axioma application, while the scaling to position level is done inside SimCorp Dimension.

The required unitized stress test data from Axioma is stored in the following windows:

  • Axioma Stress Test Analytics
  • Axioma FX rates
  • Axioma Stress Test FX rates

The shocked scenario market values are calculated according to the following formula inside SimCorp Dimension:

AxR AxR Scenario value RC = AxR Shocked price × Balance nominal/number × Axioma stress test FX rate QC / RC, where the prices and FX rates are provided by Axioma and imported into SimCorp Dimension.

Benefits

  • As a Portfolio Manager, you can easily access Axioma Stress test scenarios using SimCorp Dimension for analysis, storage, and reporting.
  • A wide analytics list, which covers scenario market value and P/L calculated for the portfolio, model, benchmark, and relative holding scope.
  • Data flow is orchestrated by the communication server logic and batch- driven processes, reducing end-user involvement and operational risk.

New risk method: Risk factor P/L Contribution in risk measurement

The new risk method provides detailed analytics on risk factor contributions to profit and loss measurement, making it possible to explain the reasons behind the changes in Theoretical P/L. It also includes contributions from Theta and unexplained artificial risk factor. The results can only be seen by using extraction tools.

Benefits

This functionality makes the resulting analytics available outside the risk measurement back-testing flow, offering standalone value by calculating metrics independently of Parametric or Modified VaR.

Split external fund components by IFRS 9 purpose

You can build the Reporting Structures that group holdings by different IFRS 9 purposes. Now such a dynamic split in the absolute tree structures is more flexible for the external funds. Previously, the split value came from the parent fund, but it is now possible to take the value from the components of the external fund. This is controlled by the Decomposition Profiles and Fund Decomposition Components configuration. The analysis of the risk analytics according to the new grouping value is available in the Risk Analysis Manager.

Benefits

With this enhancement, you can use a split on different IFRS 9 purposes in the risk analysis and reporting flow for all positions, including the decomposed fund holdings.

Subscription based licensing

Risk Analysis Manager

Sales module dependency

Risk Reporting
Various risk model modules

 

Strategy Manager

Enabled the calculation of decomposed book value with selected accounting balances in position calculation

It is now possible to calculate decomposed book value in scenarios where accounting balances are selected. Previously, decomposition was not supported when we had selected accounting balances, and decomposed book value was only calculated if Solvency 2 was checked in combination with activated reinvestment or flexible analytics services. 

Benefits  

As an investment or portfolio manager, you now have wider capabilities for building your investment strategies by analyzing calculated accounting analytics for decomposed components.

Subscription based licensing

Strategy Manager & various add-ons

Sales module dependency

Strategy Manager – Calculations
Strategy Manager - Market Data Stress Test
Strategy Manager - What-if and Horizon Analysis
Strategy Manager - Position Calculation API
Strategy Manager - Reinvestment component 

 

 

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