Credit Suisse's PortfolioRisk+ is a full-distribution portfolio risk system, allowing investors to measure the forward-looking risk of a portfolio as a whole and the contribution of each holding to overall risk. Employing a new technology for credit risk management, PortfolioRisk+ is easily adaptable to the requirements of total-rate-of-return investors, leveraged investors, CDO managers, insurance companies, and pension funds.
PortfolioRisk+ employs Credit Suisse's proprietary CUSP® model to assess the probability of losses for individual issuers. Unlike conventional models, such as Mean-Variance, which assume all returns are normally distributed, PortfolioRisk+ is able to handle the asymmetrical distributions that naturally arise in credit.
Using cutting-edge mathematical approaches, PortfolioRisk+ shows users how tail risk interacts in a portfolio, gauges how each holding adds to or detracts from portfolio diversification, and identifies trades that can reduce portfolio risk. Additionally, PortfolioRisk+ can optimize portfolios to reduce risk and improve prospective returns, taking into account users' risk aversion, index-tracking requirements, cost of funding, and exposure constraints. Further applications include analysis of counterparty default risk and curve risk analysis.
Increasingly, fund-manager performance measures, such as information ratios, take into account portfolio volatility. Managers require strategies to maintain returns while diversifying risk. Employing CUSP's forward-looking measures of spread risk, PortfolioRisk+ allows investors to optimize portfolio diversification as market conditions change.
For more information on PortfolioRisk+, please contact the Quantitative Credit Strategy Team.