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TotalRisk 4.3 provides support for the latest version of the Barra Integrated Model, expanded instrument coverage, improved software functionality, and improved historical data coverage.
Barra Integrated Model (BIM 206)
Support of updated U.K. and Europe equity models based on daily factor return data (UKE7L, EUE2L); updated China equity model (CHE2); local fixed income risk models for Bulgaria, Croatia, Lithuania, Romania, Russia, Iceland, Chile, and Indonesia; new Japan real term structure model; detailed sector-by-rating credit model for Australia; Serbia emerging market credit factor; new currency coverage.
New Instrument & Analytical Coverage
Japan inflation-protected bond coverage; user-defined credit default swap basket support; user-defined commodity future, commodity index future support.
Improved Software Functionality
Software enhancements in TotalRisk 4.3 increase the usability and flexibility of the system, including: group user permissioning in User Administration; enhanced logging of position loading activity; updated installation using Windows Installer (MSI) standards.
Historical Data Enhancements
Improved historical data coverage for VaR Back Testing and historical VaR simulation workflows; support for user-provided equity returns in VaR Back Testing and historical VaR simulation.
