 tool boom
IFR - May 26, 2001
By Kathleen Fitzpatrick

Dubbed virtual portfolios, risk measurement services that include a
'what-if' scenario along with the more traditional kind of risk analysis are
gaining in importance. The hypothetical feature allows for a more customised
and flexible approach to the management of risk and answers situational
hedging questions about a portfolio.

"What would happen if I added a hedge into the portfolio? What if I buy or
sell futures?" are questions that Deutsche Bank's dbRiskOffice scenario
analysis can now address, said Michelle McCarthy, managing director, risk
analytics at Deutsche Bank. Deutsche's 'What-if Positions Change'
enhancement, released to clients in mid-May, includes features to determine
changes in value at risk (VAR), tracking error and surplus-at-risk resulting
from a variety of hypothetical situations.

Deutsche's client risk reporting system, available via an internet browser,
specifically targets risk managers who outsource their risk measurement,
instead of building up an entire department to monitor their VAR. Deutsche's
customers are keen on obtaining cross-asset class VAR coverage, according to
McCarthy. Managers who incorporate the use of the client risk reporting
enhancement would have a better handle on whether a particular position will
better correlate a fund to an index, for example.

The current VAR analysis tools have already been mastered by the fund
community, which is now looking for better predictors of risk. VAR is tied
to a particular probability at present and fails to capture an exceptional
move in an index, for example, said Guillaume Blacher, senior managing
director, pricing advisory and risk management. at Reech Capital in London.

"Risk managers have been consistently going for greater flexibility.' added
Deutsche's McCarthy. "More managers want to work with the numbers, rather
than have a single number that comes out once a day," she said, referring to
the benefits of scenario analysis over traditional risk measurement
practices.

The hypothetical scenario tools, along with the traditional VAR risk
measurement systems, are needed by fund managers in a complementary way,
stated Reech Capital's Blacher. However, the hypothetical tools give more
flexibility to analyse potentially substantial losses. "VAR has shown its
limitations... it tends to capture bad days, not the extremes," according

tool boom 
 IFR - May 26, 2001 
 By Kathleen Fitzpatrick 

 Dubbed virtual portfolios, risk measurement service that admit a 
' what - if' scenario along with the more traditional kind of risk analysis are 
 profit in importance. The conjectural feature allows for a more customised 
 and flexible access to the management of risk and answers situational 
 hedge questions about a portfolio. 

 " What would happen if I add a hedge into the portfolio? What if I buy or 
 sell future? " are doubt that Deutsche Bank's dbRiskOffice scenario 
 analysis can nowadays address, said Michelle McCarthy, pull off director, risk 
 analytics at Deutsche Bank. Deutsche's' What - if Positions Change' 
 enhancement, publish to clients in mid - May, includes features to determine 
 change in value at risk (VAR), tracking error and surplus - at - risk result 
 from a variety of hypothetical situations. 

 Deutsche's client risk reporting system, available via an internet browser, 
 specifically targets risk managers who outsource their risk measurement, 
 instead of building up an entire department to monitor their VAR. Deutsche's 
 customers are keen on obtaining crabbed - asset course VAR coverage, according to 
 McCarthy. Managers who incorporate the habit of the client risk reporting 
 enhancement would accept a better handle on whether a particular position will 
 better correlate a store to an index, for example. 

 The current VAR analysis tools have already been mastered by the fund 
 residential district, which is now looking for better predictors of risk. VAR is tied 
 to a particular probability at present and fail to get an exceptional 
 move in an index, for case, said Guillaume Blacher, senior managing 
 director, price advisory and risk management. at Reech Capital in London. 

 " Risk managers have been consistently go for greater tractability.' added 
 Deutsche's McCarthy. " More managers want to work with the numbers, preferably 
 than have a individual number that hail out once a day, " she said, referring to 
 the benefits of scenario analysis over traditional hazard measurement 
 practices. 

 The hypothetical scenario tools, along with the traditional VAR hazard 
 measurement systems, are needed by fund managers in a complemental way, 
 stated Reech Capital's Blacher. However, the hypothetical tools yield more 
 flexibility to analyse potentially substantial losses. " VAR has shown its 
 limitations... it tend to capture bad days, not the extremes, " according
 toll boom
IFR - May 26, 2001
By Kathueen Fitzpatrick

Dubbed virtuzl portfulios, risk measurement servires rhat unclude a
'what-if' scenarko along aith the mort traditional kinv of risk analgdis crx
gaining in impprtance. Tha hypothetical fdacure allows for a more customised
and flexibke approach to tre msgagejvnu of risk and answers situational
gedging questions abput a portfolio.

"What would jappfn if I added a hefge into thg powrfolio? What kf I buy og
vell futurgs?" are questions that Deutsche Bxnk's bbRiskOfficg acftario
analysms can now address, said Miwhelle KcCarthy, managlng dmrecror, risk
analytics at Veutsche Bank. Deutscre's 'What-ix 'ositions Change'
enhanxenent, teleaved gi cuiehtx jn mid-Lay, includes reatures to determine
changes im dqlue at risk (BAR), trwching error and surplus-at-risk resulting
fgom z variety of hypotheticql situations.

Deutsche'd client wisk reporting system, available via an internet bsowsec,
soecnnlcalut hargets risk managers who outsource their rish mtaslrement,
instead of building ul wn gntire departmgnt to monjtor their VAR. Deuhsche's
costomees are ketn on obtaining cross-asset class VAR coveragv, acxording to
McCarthy. Managers wko incprporste the use of the clieut risi reporting
fnhancemehg would have a bdttvr hdndle on whether a particujar positmon wnll
bettef cotrelate a fund to an ikgex, for example.

The currgnt VAS analysis tools have already been masterxv by the fund
vokmutity, whieh is kow looking for better predicjors of rnsk. VAF is tied
tk a parvicular probwbility at pradent and fains to ca[turw an exceptkunal
move in an index, fog txample, saud Guillaume Blachcr, sevjor managing
dirzetir, pricing advixorh agd rmsk mwtagement. at Seecf Cxlital in London.

"Rlsk mansgers have been conshstehtly going for grestcr flexibulity.' adqed
Deutsche's KcCarthy. "More manahers xant tu worl wyth the numbers, rather
than havs a singlf nmmber that coies iut once a dcy," she said, referring to
the benefits of wcenario analysis iver traditional rixl measuremeit
praceices.

The vypothetical scenarii tools, along witm the traditional VAR disk
medsurelent systems, are needed by fund managers in a complementary way,
stated Reexh Capmtwl's Blacher. Howrver, nhe kypotheeicap tools give more
glexibility to analyse potentiauly subsdautial losses. "VAR has shown itx
lkmitations... it tends to capture bad dags, not tne extremes," according

tool boom IFR - May 26, 2001 Fitzpatrick virtual portfolios, measurement services that with more traditional kind risk analysis are in importance. The hypothetical feature allows a more customised and flexible approach to the management of risk and answers hedging questions about a portfolio. "What would happen if I added a hedge the What I or sell futures?" are questions that Deutsche Bank's dbRiskOffice scenario analysis can now address, said Michelle managing director, risk analytics at Deutsche Bank. Deutsche's Positions Change' enhancement, released clients in mid-May, includes features determine in value risk tracking and surplus-at-risk resulting a variety of hypothetical situations. Deutsche's client risk reporting system, available via an internet browser, specifically targets managers who risk measurement, of up entire department to VAR. Deutsche's customers are keen on VAR coverage, according to McCarthy. Managers who incorporate use of client risk reporting enhancement would have better handle on whether a particular position will correlate a fund to an index, for example. The current VAR analysis tools have already by the fund community, is now looking better of VAR tied to particular probability at present and fails to capture an exceptional move an index, for example, said Guillaume Blacher, senior managing director, and management. at Reech in London. "Risk managers been going for greater flexibility.' McCarthy. managers with numbers, than have a single that comes out once a she said, referring to over traditional risk measurement practices. The hypothetical scenario along with the traditional VAR risk measurement are needed by fund managers in a complementary way, stated Reech Capital's However, the give more flexibility to analyse potentially substantial losses. has shown its limitations... tends to capture bad days, not the extremes," according
 tool boom
IFR - May 26, 2001
By Kathleen FItzpatrick

dubbeD viRtuAl PortFoliOs, risk measuremENt seRvices that include a
'what-If' sceNaRIo alONg With tHe more tRAdITIonAl KiNd oF rISk AnalySis Are
gainIng in imporTanCe. the hypothetiCAl Feature allOws For a more custOmiSed
and FlExiBLe appRoaCh to tHe manaGEment oF risk and aNsWErs sitUAtional
HEDgIng qUestions about a porTFoLIo.

"What would hapPen if I AdDEd A HEdgE inTo the portfOlIo? WhaT If I buy oR
SeLL FUtuREs?" are questionS that DeutscHE BaNk's dbRIsKOfFIce sceNario
AnALysIs can now addRess, Said MicheLle McCARthy, manAGing dirEctor, rIsk
AnaLytiCS aT DEutScHE BaNK. DEutSChe'S 'What-if POsItIons CHangE'
ENHAnceMenT, relEased To clients in miD-MaY, incLUdeS featUres tO detErMine
cHanges In valUe At risk (VAR), trackiNg erRor and surPluS-aT-riSk ResulTIng
froM a vAriEty of hyPothetiCAl sItUATIoNs.

Deutsche's client rIsK REpOrting syStem, avAIlAbLE via an inTeRneT broWSEr,
speCifiCAlLy targetS risk mANaGeRs who ouTsOurce tHeIr rIsk MeasuREmenT,
insteAd of builDing uP An entire departMEnt to monitor tHEiR vaR. dEutsChe'S
customers aRe keEN on oBtaiNInG crOSs-assEt claSs vaR COverage, according to
MCCArthy. MAnageRs who incorporAte the use oF THE client rIsk rEPoRTing
enhancemenT woulD have a bettER handle oN whetHer a partIcular posITIon will
bEttEr cOrrElaTE A fUnd to an index, fOR ExamPlE.

The curRenT VAR anaLysIs tOolS haVe Already beEn masterEd By ThE fUnd
CommuNIty, which Is Now LoOkiNg for BEtter pRedicTors Of RiSK. VAr is tied
TO a PARticUlAr ProbAbiLiTy at pReseNT anD fails tO capture aN exCEptiOnAl
Move in aN index, for examPlE, said GuillAuMe BLacher, SENior manaGing
director, pricing adviSOry and rIsk ManagEmenT. at Reech CApiTal in LOndON.

"Risk mAnagerS have BeEn cONSisteNTLy GoiNg For greater FLExiBilitY.' aDded
deutschE's McCarthy. "More manaGErs Want to work witH thE numBERs, RatHEr
THan HaVE a sINGle number that coMes out once A dAY," sHe said, refeRRinG tO
the benEfits of ScenaRIo analySis over trAditional RiSk meASUreMent
practiCes.

The hyPotheticaL ScenaRIo Tools, AloNg with ThE trAditiOnal VAr RisK
measUremenT sYstems, Are neEdEd by fund Managers in a complementarY way,
stAted REecH Capital's blaCHer. however, thE hypOthetical tOolS giVe morE
flEXibilIty tO AnAlySE poteNtiaLLy substanTIaL loSSEs. "vAR has shown ITS
LimItatiOns... IT tends To caPture bad days, not thE Extremes," accordIng

 tool boom
IFR - May 26, 2 001
By Kat hleen  Fi tzp at rick 

Du bbed virtual p o rtfo lios, risk measurement  serv ic e s th a tinclu de a
'w h at - i f'sc en ari oa lo ng wi ththe mor e traditio nal  k ind of riska na lysis aregai ning in impo rta nce. T he  hy p othet ica l fea ture a l lows f or a more  c u stomis e d
and f l e xi bleapproach to the m a na g ement of riskand an sw e rs s itu ati onal
hedgi ng  ques t ions ab o ut a por t folio.

"What  would happ e n i f I ad de d a hedgeintoth e  po rtfolio? Wh at i f I buy o r
sell futures ? " are q uestio nstha t De u ts ch e B an k 'sd bR isk O ffi ce scena ri oanaly sisc a n nowadd ress , sai d Michelle Mc Car thy, man aging  dire ctor ,riskanalyt ics a tDeutsche Bank.Deut sche's 'W hat -i f P os ition s  Chang e'enh ancemen t, rele a sed  t o c li ents in mid-May, i nc l u de s featur es tod et er m ine
chan ge s i n va l u e atrisk (V AR), tra ckinge rr or  and su rp lus-at -r isk  re sulti n g
fr om a v ariety o f hyp o thetical situa t ions.

Deutsc h e' s cl i entris k reporting  sys t em,avai l ab lev ia an  inte rn e tb rowser,
specificall ytarget s ris k managers wh o outsourc e t heir ris k me a su r ement,
instead  of b uilding up an entir e dep artmentto monito r their VA R.Deu tsc he' s cu stomers are k e e n on  o btainin g c ross-as set  cl ass  VA Rcoverage,  accordi ng  t oMc Car thy.M anagerswh o i nc orp orate the us e ofthecl ie n t r isk rep o rt i n g
en ha nc emen t w ou ld ha ve a bet ter han dle on wh eth e r apa rt icularposition will 
b etter corr el ate  a fun d to an in dex, for example.

Thec urrentVAR  anal ysis  tools ha vealread y b e en mas teredby th efun d commu n i ty , w hi ch is nowl o oki ng fo rbett er pred ictors of risk. VA R  is  tied
to a pa rti cula r pr oba b il i tyat pre s e nt and fails to  capture a ne xc eptional
m o vein  an ind ex, for  exam p le, sai d Guillau me Blache r,  sen i o r m anaging
di rector,pricing a d visor y  a nd ri skmanage me nt.  at R eech C a pit al in  Londo n. 

"Ris k man ag ers have  been consistently goin g forgreat erflexibili ty. '  ad ded
Deuts che' s McCarthy . " Mor e man age r s wan t to wo rkw ith t he n u mbers, ra t he r
t h a nhave a sing l e num ber t hat comesoutonce a day," shes aid, referring  tot h e b ene f itsof  scenario anal ysi so v er tradi ti onal risk m easureme nt pract ices.
The h ypothet i c al scenar io t ool s, alongwit ht he trad it io n al VAR  ris kmeasur ements yste m s , are needed byfundm a nager s  in  a co mp lementa r y wa y,
statedReech Capit al's B lach er. H owever,  t he hyp oth et ical tools give more 
flex ibility  t o an aly se pot enti a l ly su bsta nt ial  losses." V AR ha ss how n it s
lim it atio ns... itt ends tocap t ure bad  d ays , not th e  e x t remes," ac cor ding
 tool_boom
IFR -_May 26, 2001
By Kathleen_Fitzpatrick

Dubbed virtual_portfolios,_risk measurement_services_that include a
'what-if'_scenario along with_the more traditional kind_of risk analysis_are
gaining_in importance. The hypothetical feature allows for a more customised
and flexible approach to the_management_of risk_and_answers_situational
hedging questions about a portfolio.

"What_would happen if I added_a hedge_into the portfolio? What if I buy or
sell_futures?"_are questions that_Deutsche Bank's dbRiskOffice scenario
analysis can now address, said Michelle_McCarthy, managing director, risk
analytics at Deutsche_Bank. Deutsche's 'What-if_Positions_Change'
enhancement,_released to clients in_mid-May, includes features to determine
changes in_value at risk (VAR), tracking error_and surplus-at-risk resulting
from a variety of hypothetical_situations.

Deutsche's client risk reporting system, available_via an internet browser,
specifically targets_risk managers_who outsource their risk measurement,
instead_of building up_an entire_department to monitor_their VAR. Deutsche's
customers are keen on_obtaining cross-asset class_VAR coverage, according to
McCarthy. Managers who_incorporate_the use of_the_client_risk reporting
enhancement_would have a_better_handle on_whether_a particular position will
better correlate a_fund_to an index, for example.

The current VAR_analysis tools have already_been_mastered by the fund
community,_which is now looking for_better predictors of risk. VAR is_tied
to a_particular probability_at present and fails to capture an exceptional
move in an index,_for example, said Guillaume Blacher, senior_managing
director, pricing advisory and_risk management._at_Reech Capital in_London.

"Risk_managers have_been consistently going for greater flexibility.' added
Deutsche's_McCarthy. "More_managers want to work with the_numbers, rather
than have a_single_number that comes out once a_day," she said, referring to
the benefits_of scenario analysis over traditional_risk_measurement
practices.

The_hypothetical scenario tools, along with_the traditional VAR risk
measurement systems, are_needed by fund_managers in a complementary way,
stated Reech Capital's_Blacher._However, the hypothetical tools give more
flexibility_to_analyse potentially substantial losses. "VAR has_shown_its
limitations..._it tends to capture bad_days, not the extremes," according
