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Portfolio Analytics & Reporting

Release 25.10

Axioma Stress test analytics in Compliance Manager

It is possible to run the pre-trade and post-trade compliance validation functionality for Axioma stress test values in the Compliance Manager. 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 calculated values for Axioma Stress Test P/L can be seen in the Asset Manager and in the Risk Analysis Manager.

Benefits  

As a Portfolio Manager, you can ensure that the investments are made compliant and transparent in accordance with the limits set by you.

Select specific groups to calculate Modified VaR

You can select specific groups of Modified VaR to be calculated by using the new Analytic groups field in the Risk measurement.

  • Select All to calculate all groups of Modified VaR.
  • Select VaR to calculate only Modified VaR.
  • Select Include IVaR to calculate Modified VaR and Incremental VaR.
  • Select Include MVaR to calculate Modified VaR and Marginal VaR.

Benefits

With this enhancement, you can decrease the execution time for Modified VaR by selecting only analytic groups you are interested in.

Analytic groups for Modified VaR

Caption: Analytic groups for Modified VaR
 

Subscription based licensing

Risk Analysis Manager

Sales module dependency

Risk Reporting
Various risk model modules

 

Investment Forecasting & Solvency – various enhancements

Pricing of extended fixed bonds by using fixed implied spread in investment forecasting

Now it is possible to use a fixed implied spread for pricing extended fixed bonds in Strategy Manager for Investment Forecasting.


When you select the Use fixed implied spread for extended bonds check box on the Execution label, SimCorp Dimension calculates implied spread for the first what-if transactions with extended bonds, based on the price defined in the what-if and the yield curve shocked by the Market Data Forecasts. This fixed spread is used for all future points in time when price calculations are required, for example, the fixed derived spread from the first transaction date is used to adjust all future prices. This setting is applicable only for extended bonds priced with Quoted price + yield curve price method.


Benefits
This functionality enables you avoid EOP adjustments at the date of simulated transaction and have prices calculated for the Position Calculation that is close to the price defined in the what-if.

Execution label

Caption: Use fixed implied spread for extended bonds checkmark

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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