Axioma Risk ™ The next-generation market-risk management system Axioma Risk™ is a flexible system for multi-asset class risk management, offering analytics and data in a unified platform. In the system, a suite of analytics tailored to meet portfolio and asset-specific risk-measurement needs is coupled with.
Axioma has unveiled a new tool which will allow clients to construct customized risk models according to their own investment processes. The Axioma Risk Model Machine uses the business logic and statistical techniques built for Axioma’s own fundamental and statistical risk models.
- See Axioma’s “Risk Model Handbook” for more details. Stocks in a given industry or country, or that are based in a given currency, are given an.
- Market Equity Model Suite builds on decades of MSCI’s experience in constructing both global equity indexes and risk models for the global equity investor. The model introduces Systematic Equity Strategies for the first time in a Barra global equity model, in addition to delivering rich global datasets, point-in-time fundamental.
The custom risk models created by the machine are compatible with Axioma Portfolio Optimizer, Axioma Portfolio-Attribution, Axioma Backtester and Axioma Risk Analysis. The machine provides output that includes both the model itself and a diagnostic report that assesses the quality of the model.
Click here for the release from Business Wire.
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Harmony sovereign guitar. NEW YORK, Aug. 22, 2019 /PRNewswire/ -- Axioma, theleading global provider of enterprise risk management, portfoliomanagement and regulatory reporting solutions, today announced theaddition of the new Canada equityrisk model (AXCA4) to its next-generation Equity Factor Risk Modelsuite. The release builds on the existing risk models, offeringenhanced country-specific content to meet the risk-management needsof investors.
The estimation universe for the new Canada model contains over 440 stocks andETFs, with coverage history from 1995. Vcds lite hacks 2017. The enhanced data includesdeep daily history and, for the first time, incorporates macrofactors for residual Gold and Oil sensitivity.
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'The introduction of macro factors such as Gold and Oilsensitivity in the CA4 model captures the importance of thesenatural resources in the Canadian economy,' said Arnab Banerjee, Director, Product Management atAxioma. 'The new CA4 model also uses a custom and granular industryfactor structure to better reflect other key Canadian markets, suchas the paper and forest-products segment.'
Axioma's updated Canada riskmodel utilizes 17 market-based and 15 fundamental style modeldescriptors, offering deeper insights into short and medium-horizonrisk exposures. In addition to holistic improvements to attributionand risk estimates, key enhancements include:
- Expanded securities universe coverage of Canada-listed shares and ETFs
- Additional fundamental factors, including market intercept,dividend yield, and profitability
- The new market-based factors covering residual Oil and Goldsensitivity
- Updated industry classifications for more comprehensiverepresentation of the Canadian market
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'There are notable differences in the behavior of factors in theCanadian market,' said MelissaBrown, Head of Applied Research at Axioma. 'Having anability to drill down into a Canada-specific view of risk offers superiorrisk-management capabilities to managers focused on thatmarket.'
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The Canada model is part ofAxioma's comprehensive suite of portfolio construction,optimization and risk solutions. Top-line benchmark risk estimatesusing the new model are now available through our Equity RiskMonitors.
About Axioma
Axioma provides an integrated suite of innovative andcustomizable investment-management solutions to a global clientbase of asset managers, hedge funds, insurance companies, pensionfunds, wealth managers and investment banks. Our award-winningsolutions and tools include multi-asset enterprise risk management,portfolio construction, performance attribution, regulatoryreporting and custom index design. With over $10 trillion in assets under management, ourclients rely on Axioma for decision intelligence that supports theentire investment process, across the front, middle and backoffices. Enabled by Axioma's market-leading technology from APIs tothe cloud-native open environment of axiomaBlue™ andfully integrated content and analytics, our clients deploy Axioma'ssolutions to create competitive advantage – 'from risk toreturn'™. Learn more at www.axioma.com and followus on Twitter and LinkedIn.
Axioma Risk Model Handbook 2017
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Axioma Risk Model
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