Analytics and risk management provider Numerix has released a new scripting language for "defining bespoke risk scenarios, stress tests and greeks."
The Numerix Risk Scenario Framework, which is built on its CrossAsset analytics platform, "allows custom implementations of business rules that determine how scenarios are created and how they are applied to individual or groups of trades," according to the New York-based vendor.
Numerix is rolling out this added functionality to address demand for more robust stress testing capabilities. The Risk Scenario Framework will also allow users to "assess the firm and portfolio impact to assets due to changes in the environment including market data factors (i.e. index levels, curve shifts, volatility), collateral terms such as margin increases, trade-specific terms like strikes, maturity dates, underlying indexes as well as sensitivities to model parameters."
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