Easily Adding or Changing Risk Models

A simple, easy and reliable method for adding, modifying, or changing risk models.

• New security types in portfolio may require a new RiskMetrics model
• Fine-tuning of model configurations (i.e. market data overrides)
• Desire to take advantage of new RM model releases type to better model your portfolio
  • Example: replace generic bond model with bank loan model

Challenges

• steep learning curve with new schemas
• Joining input file data to schema fields
• Generating a well-formatted RML file
• Validation, testing, and development required before a new model appears in the risk report

Together, these create many opportunities to make mistakes and introduce errors that cause model risk.