Tail Copula Stress Testing System
RiXtrema's Tail Copula Stress Testing is a unique product that provides asset managers, including pension plans and consultants, as well as mutual funds, hedge funds, funds of funds and others, with a robust risk management tool to understand how the investment portfolio will react to large movements in a wide variety of market metrics. The uniqueness of the system is in the proprietary and patent-pending tail copula approach, which ensures that the resulting shocks reflect extreme environment, as opposed to extrapolating from tranquil periods.
The Tail Copula Stress Testing is built to perform with a wide range of assets, including equities, currencies, commodities, fixed income (sovereign, corporate, municipal, convertible, asset-backed) and derivatives on them. The module also includes a groundbreaking Reverse Stress Testing application to scan the portfolio for vulnerabilities in tail events.