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StatPro Releases Liquidity Risk Methodology Tool

GRC Announcements | October 27, 2010

StatPro, a global provider of portfolio analysis and asset valuation services for the asset management industry, has released its latest version of StatPro Risk Management—an integrated, SaaS-based portfolio analytics platform that provides performance measurement, attribution analysis, analytics reporting, and much more, all from a single platform.

Rather than measure market liquidity risk by observed bid, ask and volumes alone, StatPro takes into account factors such as market capitalization, the percentage of ownership of a stock and the size of an issue for a fixed income instrument. The software facilitates the selection of the appropriate liquidity risk scenario and the computation of the expected loss for liquidity risk. The view includes a breakdown of the liquidity risk loss across various components.

Users can select one scenario and build a ‘tree’ of criteria for breaking down the liquidity risk contribution at each...

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