Risk Management and Measurement

Value At Risk

Mathema provides both real-time and end-of-day and end-of-month value at risk and conditional value-at-risk calculations for all known financial instruments including

  • equities
  • foreign exchange
  • bonds
  • derivatives including swaps and options 

Factor analysis is also conducted. Where necessary principal components analysis and Eigen-Portfolios are constructed.

Value at Risk is calculated up to 10,000 times per hour using both normal , extreme (eg Gumbel) distributions and non-parametric distributions (eg bootstrapped).

Attribution Analysis

Mathema provides its clients with detailed analytical tools to perform attribution analysis of investment returns.

Mathema assists clients with identifying returns due to 

  • asset allocation
  • style
  • individual security selection; and
  • foreign exchange 

among other factors. 

Performance Reporting Compliance

Mathema assists clients with verifying and validating client investment return reporting, including compliance wth standards such as Global Investment Performance Standards ("GIPS").

Concentration risk

Mathema assists clients with aggregating risk across portfolios and managers to identify concentrations of risk.