Version 4.0 gives institutional investors a complete understanding of their credit risk exposures by assessing their potential impact on overall portfolio risk, according to a media release from Barra.
The new version includes a Potential Future Exposure module, which allows asset managers and plan sponsors to calculate counterparty risk exposures in derivative transactions.
Users also have access to an integrated model that combines equity, fixed income and currency factors, enabling sophisticated risk forecasting for portfolios across multiple markets and asset classes, the company said.
According to the news release, the model enables managers and sponsors to focus on local, regional or international risk profiles by linking local equity factors to a core set of global factors providing a consistent framework for modeling risk.
The module’s speed allows for intra-day measurements and analyses.