Deutsche enhances online risk system

Deutsche Bank has added two major components to its DBIQ online analysis system that will allow analysis of structural risks and present value-at-risk (VAR) analysis through full Monte Carlo simulation. The DBIQ portfolio system and DBIQ risk system build on the existing DBIQ platform, which provide money managers with index and bond-level data through a portfolio analysis system.

Deutsche claimed its portfolio system allows easy analysis of the structural risks inherent in portfolios by allowing users to analyse and track their portfolios against a chosen benchmark. Users can upload their portfolio holdings into the DBIQ system and analyse the risk of the portfolio in multiple dimensions.

The risk system presents VAR analysis through a full Monte Carlo simulation that accounts for optionality and non-linear security risk. The system provides access to a wide array of VAR data on portfolios and standard indexes.

Fergus Lynch, Deutsche's global head of index development, said: “The provision of full VAR risk analysis to our clients is a giant leap for our online services. We can now provide our clients with the most rigorous risk analysis possible. We believe DBIQ is now the leading online tool for Europe.”

Lynch told RiskNews that Deutsche has been building DBIQ's framework for two years, and plans to complement the index analysis system and the computer-intensive Monte Carlo approach with a medium-weight parametric risk model to compete with its US rivals. These include Salomon Smith Barney's The Yield Book and Lehman Brothers. "In the next six months, our goal is to achieve seamless analysis through execution,” said Lynch.

Steve Mandel, managing director of Salomon Analytics, which runs The Yield Book - which incorporates analytics used by traders to make markets - said Deutsche's product was largely used in Europe. By contrast, The Yield Book was stronger in the US, with only 20 of its 300 customers being European.

But The Yield Book representatives have been raising the product's awareness through a series of conferences in Europe. Mandel added that the Yield Book also plans to develop input for VAR analysis in the next six months.