Cogencis Risk Analyser

Cogencis Risk Analyser (CRA) application has been developed for valuation of Fixed Income securities viz. Government Securities (GSecs), State Development Loans (SDL), Corporate Bonds, Commercial Papers (CP), Certificates of Deposits (CD) and Treasury Bills (TB). FIRM also generates risk measures as Duration, Mduration, Convexity and PVBP at both Security and Portfolio level. Cogencis Risk Analyser offers Value-at-Risk (VaR) of portfolio, using Parametric (Variance – Covariance) and Historical Simulation methods across various confidence levels - from 94% to 99.5%.

Cogencis Risk Analyser is an invaluable analytical tool for Front Office, Mid Office as well as Risk Management teams.

Front Office Module

  • Holding Period Calculator: Computes Bond-wise return during tenure for which bond is intended to be held in portfolio, from value date.
  • Cost of Carry Calculator: Computes Carry of a bond for a delivery date.
  • Repo Calculator: Computes consideration of a bond if used in a Repo transaction.
  • Rich Cheap analysis: Identifies bonds which are rich or cheap w.r.t Theoretical price.
  • Yield Curve analysis: Identifies yield curve movement across different types of issuers for a specific tenor of bond and for a given date range.

Mid Office Module

  • Stress Test: Assesses impact of movement in tenor-wise yields on Bond Price and P/L in the Portfolio. On basis of input parameters this tool computes Price, P/L, P/L%, Duration and MDuration at bond level and portfolio level.
  • Cashflow Analysis: Computes cashflows and buckets them in tenor and date-wise buckets.
  • Configurations: Users can input applicable tax rate to compute tax-adjusted valuation of Tax-free bonds.

Risk Management Module

  • Risk Measures: Instrument-wise and Portfolio-wise valuation is done along-with computation of Risk measures as Duration, Convexity and PVBP. The output can also be generated user portfolio wise like AFS, or both AFS and HFT, depending on user portfolio inputs from Portfolio upload file.
  • Bond VAR: Computes Value-at-Risk (VaR) at instrument level and portfolio level using Historical Simulation (HS) and Parametric (Variance – Covariance methods).
  • Bond VaR Backtesting: Users can understand robustness of VaR module, as per RBI Risk Management guidelines.
  • Equity VaR: Helps investors assess risk in their equity portfolio. It is able to generate Value-at-Risk (VaR) on current / historical date on listed equity portfolio by Historical Simulation (HS) method, for a range of confidence levels.
  • Mutual Fund VaR: Helps in MTM and VaR computation on Mutual Fund Portfolio, for both current and historical dates, by Historical Simulation (HS) method, for a range of confidence levels.

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