Manage Interest Rate Risk with PISA
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1. Gnosis has developed risk management software called PISA (Portfolio Interest Rate Sensitivity Analysis) to help financial institutions manage interest rate risk. 2. PISA allows users to analyze the interest rate sensitivity of assets and liabilities, understand the effects of buying or selling securities, and model various scenarios. 3. PISA is customizable, integrated with market data from Bloomberg, and can be accessed through Excel or the web for quick risk assessments and decision making.
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Manage Interest Rate Risk with PISA
- 1. Overview of the Gnosis Independent Risk & Valuation Service and use of the PISA Risk System By Gnosis Group September 2008
- 7. Flexible risk analysis PISA has tools available for doing sensitivity analysis and value at risk calculations for all interest rate sensitive assets and liabilities.
- 8. Access to market data Up-to-the-minute market data such as swap rates, option volatilities, and PSA rates for mortgage backed securities can be provided through Bloomberg
- 9. Creating the portfolios Position data can be easily loaded into the application using templates
- 10. The risk framework Portfolios are broken down into risk buckets so PISA can quickly perform rate sensitivity, VaR, and other what-if analyses.
- 11. Different scenarios Different rate scenarios applied to portfolios can be analyzed.
- 12. Clear results Understandable results are provided instantly
- 13. Drill down The user can look deeper into the risks of each asset or liability category, or even individual securities, to better understand how the risks arise.
- 14. Instant What-if’s What-if scenarios can be analyzed by adding to or removing positions from the portfolio to change the risk profile.
- 15. Immediate results The results of the what-if scenarios are displayed immediately to support instant decisions where appropriate.
- 16. Focus on bonds Gnosis has developed specific analytical software for monitoring the risks in investment securities portfolios.
- 17. Customizable analysis Other tools can perform risk comparisons of a bond portfolio containing significant optionality with the risk in a market interest rate swap portfolio of similar size and duration.