In order to assess the market risk of future potential losses to an even better extent, the risk-adjusted performance should be evaluated taking the ex-ante risk into account. With the introduction of the qualified approach in the German Derivatives Ordinance and in MaRisk, the measurement of potential losses was established with quantitative methods in supervisory law. Universal-Investment is therefore expanding on this regulatory framework and through RisikoAnalyse+, is offering – among other things – the following components to assess market risk.

  • Ex-ante risk indicators for addressing the following items: How high is my loss potential with a predetermined probability and holding period? How high is my loss potential in extreme market phases that are very unlikely to happen?
  • Risk allocation compared with asset allocation
  • Diversification by risk types and asset classes
  • Risk contributions of individual positions to the portfolio’s overall risk
  • Individual stress tests and scenario analyses

RisikoAnalyse+ allows the investor to see which asset classes or risk factors (such as interest rates or currencies) contribute the most to measured risk. Analogous to the top performers, the top risk securities can also be seen.

Flexible stress test options, which are also applied in RisikoAnalyse+, are offered to assess how a portfolio reacts to extreme market changes. In so doing, possible effects from political shifts or market events, such as changes in interest rates and stock market shocks, can be analysed. Scenario analyses answer the typical “what would happen if” questions and give investors a better assessment of their portfolio’s risk content.

Sample Report: Market risk