Multiple-Horizon Model Support

Users now have the choice of analyzing portfolio risk with the long-horizon Barra Integrated Model (BIM) or BIM Daily, a new daily model designed for short horizon forecasts. Users can select half lives between 10 and 50 days to generate a daily re-estimated covariance matrix. Clients can benefit from viewing risk with both highly reactive, short-horizon models and more stable, long-horizon models.

Power Value at Risk

BarraOne’s Monte Carlo simulation methodology has been significantly enhanced to allow users greater control in the simulation process. With Power VaR, users may now choose from multiple non-normal distributions, including Student-t and empirical factor distributions, to better capture the fat tails of asset returns. Additionally, BarraOne’s Power VaR also offers an option to allow users to account for passage of time in long-horizon simulations, accounting for cashflow reinvestment over the forecast period.

Value at Risk Decomposition

Users may selectively shock independent components of market data in the Historical VaR simulation module to isolate sources of risk to a position or portfolio. Detailed VaR analysis reports can show the impact on position-level VaR from interest rate, credit spreads, equity, commodity, FX, and vega market movements, to determine major sources of market risk.

Analytics Enhancements

Analytics enhancements include:

• Integration of Financial Engineering Associates (FEA) StructureTool – this flexible, simulation-based modeling tool allows users to define exotic and structured products such as equity-linked notes, interest-rate “snowballs”, exotic basket options, complex trigger options, Asian barrier options, and target return notes. Users may access StructureTool coverage of these instruments via MSCI’s Asset Modeling Service or by licensing FEA Structure Tool and importing deal files into BarraOne.
• Model Backdating – Users can specify whether to apply Barra Integrated Model (BIM) updates as delivered or synchronized to previous month end for monthly reporting cycles.
• Volatility surfaces are now fully supported in calculating the vega risk of derivative positions.
• Allocation-Selection risk attribution now supports improved grouping by manager to quantify contribution to active risk by each manager in a multi-manager program.

Workflow and Automation Enhancements

Workflow and automation enhancements include:

• Enhanced application interface – the BarraOne application user interface has been streamlined to allow for faster navigation through common work paths and to enable users to locate features more quickly.
• Bloomberg Link – for subscribers to the Bloomberg Data License offering, BarraOne can directly interface with the Bloomberg service to retrieve asset terms and conditions to enhance position coverage.
• Detailed Single Asset Views – users can now access underlying asset terms and conditions as well as factor exposures directly in the application to validate proper instrument classification.
• BarraOne Report Tool - The Report Tool enables users to easily create presentation-ready report packages. The Report Tool combines risk and performance information into standard or custom report packs that may include time-series reporting, custom charting and graphics, and tailored layouts to meet reporting preferences.