The PERMIT^®1 Risk Manager System Key Features

The PERMIT^® Risk Manager System allows users to compute and produce the following results and analyses.

Incremental VaR and C-VaR Analysis

The PERMIT^® Risk Manager System allows Treasury and Risk Managers to analyze Value-at-Risk (VaR) and Conditional Value-at-Risk (C-VaR) "Blow Ups", i.e., Treasury and Risk Managers can do additional analysis to pin-point particular deals or a group of deals which are producing unusual numbers to be generated for VaR and C-VaR. Treasury and Risk Managers can then highlight these observations to both the management and dealers involved so that if any necessary action(s) need to be taken to avoid a "blow up", can be executed before any real losses are incurred.

Stress Test Reports

The PERMIT^® Risk Manager System allows Treasury and Risk Managers to perform customized Stress Testing by specifying the scenarios that an organization’s portfolio should be stress tested with. In this manner, although the Manager may not still be able to determine the worst case scenario, nonetheless, they are able to understand some possible stresses that an organization’s portfolio may be subjected to. Thus, this allows the management and finance managers to decide on appropriate courses of action to possibly mitigate these risks.

Recent Event Weightings Settings

The PERMIT^® Risk Manager System allows Treasury and Risk Managers to make adjustments and assign weightings to signify the importance of the historical data used in the computation of Value-at-Risk (VaR) and Conditional Value-at-Risk (C-VaR). This flexibility also means that less historical data can be utilized to compute the risks measures.

Risk Measures Limits Checks

The PERMIT^® Risk Manager System allows Treasury and Risk Managers to pre-set limits on VaR and C-VaR so as to provide a monitor to the amount of risk an organization can stomach. The PERMIT^® Risk Manager System also allows the limits to be set at the detailed level, so that organizations are able to control the amounts of allocable risk the various business units can undertake. This powerful risk management tool allows organizations to actively monitor the level of risk it is exposed to, on a regular basis (as often as the organization’s risk measures are computed).