Gap Query


The gap query offers a powerful and easy way of drilling down into the underlying categories, products and transactions that constitute a gap report.

Two types of analysis are possible a category level analysis i.e. Asset Categories or Liability Categories, or a product level analysis.  
 




The results are presented showing the gaps in terms of days and dates.  For each Time Period the user can drill down to a detailed report showing the individual transactions which make up the value. Going across are the various category values and their average rates. 

Sensitivity Analysis

Full Shift (parallel) Sensitivity. This allows the user to input easily a full shift (parallel shift) change to interest rates across all reporting periods and to observe quickly and simply the profit or loss effect from this change across all reporting levels, both resulting from the change specified by the user and to the complete reverse change. The output is displayed graphically, in a printed report. It is also possible to save full shift scenarios for use with different portfolios.

Sensitivity by Category and Product. This allows the user to input an interest rate change for each category or at a detailed product level and to observe the profit and loss effect across all reporting levels, or, to input rate changes specific to each reporting period. It is also possible to save the full set of scenarios for use with different portfolios.

Sensitivity by Interest Rate Market. This allows the user to input interest rate changes by interest rate market which can be applied to any future time period. This facility is especially helpful for analysing basis risk. It is also possible to save scenarios for use with different portfolios.

Multiple Scenario Sensitivity. This allows the user to view the net profit and loss over different reporting periods for a group of chosen scenarios. This facilitates numerous simulation strategies and statistical techniques such as stress testing and Monte Carlo simulation.

Market Value Sensitivity. This function allows the user to consider market value sensitivity, that is the sensitivity of the market value of a security to changing interest rates.





Value At Risk

Value at Risk has become a popular method for calculating market risks.  A single value at risk measure is calculated with reference to a statistical volatility based on a confidence level, i.e. a probability, and a holding period (the time over which the potential loss can occur).  This technique obviously requires a volatility measure.  ALMIS can use the volatility statistics provided by Risk Metrics or can be used with your own data if preferred.

Value at Risk is an estimate with pre-determined confidence intervals of how much one can lose from holding a position over a set time horizon, whether it be one day for typical trading activities or a month or longer for portfolio management.  This method uses historical volatility and correlation of rates and prices to estimate the market risk in positions.



The produced report is similar to the market value gap report, except it now includes relevant volatility statistics and has calculated the total value at risk. As with other reports this report can be copied to the clipboard and pasted into any spreadsheet, or printed out. Clicking 'Done' returns you to the main ALMIS screen.