Analysis By
- Security
- Portfolio Portion
- Asset Class
- Sector
- Currency
- Geographic
- Etc.
- Portfolio
- Portfolio Group
- Model Portfolio
MIMICS Portfolio Analysis System Overview
MIMICS Portfolio Analysis System is designed to assist a portfolio manager with viewing and tracking different risk and performance measurements on the portfolio being tracked by the MIMICS Portfolio Management System. Different categories of risk management features are offered, including credit risk, market risk, and different sensitivity analysis measurements.
Risk Management features help you manage credit risk in various ways. The system has functionality to place different limits on your portfolio. Exceeding or approaching these limits will produce a warning from the system. You can initialize and track credit limits on loan recipient customers (such as mortgage or reverse repo customers). Similar limits can be placed on specific counterparties to limit the counterparty risk. Specific information can be saved on counterparties, such as net worth. In the MIMICS Repo Book System, specific counterparty exposure calculations are used to ensure that the exposure remains within the appropriate levels.
Limit Management – Portfolio-wide limits can also be put in place, such as limits on different security ratings categories, such as S & P, Moody’s, and internal ratings. The other types of limits that can be placed on the portfolio are virtually unlimited, and can be used to ensure proper diversification of the portfolio. These can include limits by asset type (fixed income, equity, MBS, etc.), limits by industry for equities and corporate bonds, limits by geography, limits by security type, and limits by liquidity categories.
Trade limits can be enabled as well. These can limit and regulate trades entered through the MIMICS system based upon the type of trade, the value of the trade, open positions, etc.
ALM Module – The MIMICS Portfolio Analysis System features provide many market risk management features. Liquidity risk is managed through the built-in Asset / Liability Management module, which tracks the ratio of assets and liabilities in the present position and for future cash flow periods.
Standard Risk Calculations – Various risk management calculations can be made and reported on, such as Value At Risk (VaR), Duration, Modified Duration, and the Greeks. Yield curves can be parameterized, graphed, and analyzed. Convexity and volatility are calculated. Basis point valuation can be done.
Different additional sensitivity analysis tests can be run. Simulations and optimizations can be run. The MIMICS system can also perform stress testing and back testing. Interest rate sensitivity can be tested.
Performance Measures - Screens are available for displaying portfolios and various performance measures. Duration and convexity of mortgage backed securities and CMOs are at your fingertips. IRR and other measures are easily determined.
MIMICS Fund Portfolio Management System is a system with many features to assist you with managing credit risk. Please contact MIMICS for a free on-line demonstration of this financial software system.
If you would like more information about our products and services, please fill out our online request form.