Through drill-down capabilities, risk managers or business unit managers can identify and isolate risk exposures at any level of detail they choose. In addition to transaction level drill-down, Market Simulator is scalable up to the global enterprise level. Multi-engine parallel runs on multiple CPUs enable the efficient processing of large portfolios. VaR is based on JP Morgan's RiskMetrics methodology. Correlation and volatility data can be automatically downloaded.
Users can also input their own correlation and volatility data.
Historical Simulation - Infinity Market Simulator supports the generation of scenarios from designated historical data as well as market data maintained in the Infinity Data Model. High Performance Monte Carlo Simulation - Volatility and correlation data are used together with random sampling to produce scenarios. Skewness and kurtosis data can optionally be supplied in order to generate scenarios that conform to a non-normal distribution. Scenario Analysis and Stress Testing - Infinity Market Simulator supports the generation of specific, likely market scenarios and allows users to look at how their portfolio might perform under extreme market conditions.