The risk management solution PRISMA allows you to construct efficient risk budgets, optimise your portfolio, and monitor and manage risk. PRISMA allows you to look at both risk control and investment management.
PRISMA uses liabilities as starting point. The liabilities are modelled either as a series of cash flows that are discounted at appropriate nominal and real rates, or as an optimised portfolio of liquid interest rate dependent tools. PRISMA also takes into consideration policy constraints: asset allocation and bandwidths, currency hedging, target durations, and solvency risk limits. A user can define his/her investment structure. This enables the user to allocate risk and return according to the actual portfolio structure in place.
Actual portfolio exposures as well as overlays are uploaded in PRISMA. The actual positions are the basis for the risk analysis. The system enables the user to specify their own (relative) risk/return assumptions. These assumptions, in combination with risk driver scenarios, are used to determine the (relative) risk/return contributions of all decisions. Hence, PRISMA can be used for risk monitoring at the fund level as well as for optimising the allocation over investment portfolios and/or styles.