The monthly review of risk management sites, exclusively from Risk magazine. Reviews by Dominic Baldwin

Colour-coded: Heatmaps
Valued VAR: Gloriamundi
Barra resources
In the ascendant

Heatmaps

Research indicates that the human brain can interpret changes in colour far more quickly than changes to data, and that has prompted New York-based software provider Neovision to release upgrades of some of its applications on the Web. The Heatmaps portfolio risk management and trading system consists of Heatmaps Light and the more advanced Heatmaps Pro. They both rely on colour recognition to highlight, for example, changes in price, volatility or market activity in a specific instrument, using an external source of real-time market data. As soon as the system identifies a price fluctuation in the S&P 500, for instance, it will alert the user, changing the colours on the graphs.

Cormac Kinney, chief executive officer at Neovision, says the firm is attempting to supplement the existing customised Heatmaps Pro applications with a standardised set of benchmarks for the most popular contracts and indexes.

Currently, Heatmaps covers benchmarks for individual equity indexes such as the S&P 500 and the French Cac 40, as well as for commodities such as energy futures and crude oil spot prices. The site features a free demonstration of the Heatmaps system in action.

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Gloriamundi – great name for an interesting site, created by Barry Schachter, a New York-based vice-president in the market risk management group at Chase Manhattan. Schachter, who is responsible for the firm’s internal risk-measuring models, says the site was originally conceived as a resource tool, but expanded quickly into a listing of the value-at-risk resources available on-line.

This listing includes downloadable papers – both published and works in progress – on diverse applications of VAR, and listings of software suppliers that provide VAR-calculating software packages. There are also reviews of some of these applications, including a comparison of VAR packages for small companies.

There are links to national and supranational regulatory organisations, and to consultants – both individuals and firms – offering VAR services. The site also provides links to other services not covered in its own pages, including VAR university courses. The site is updated weekly, work permitting, by Schachter.

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A software and consultancy firm the like of Berkeley-based Barra has got to get it right with its Internet pages. And by and large Barra is successful. The site is well designed and contains a wealth of information about the company’s products.

Its on-line services include a free downloadable market impact model – an on-trial application that measures the predicted costs of undertaking equity trading. Barra also posts an on-line research resource, consisting of more than 600 papers and newspaper articles on topics such as the optimisation of active risk across asset classes.

Some of these can be downloaded. The other searchable databases, including US fixed-income securities and data on the risk characteristics for worldwide equities, make these pages a useful database as well as an intelligent marketing tool.

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The latest offering in downloadable risk management systems comes from Ascendant Technologies Inc, an Ontario-based financial risk management consultancy, and is the firm’s first attempt to expand into trading and portfolio management software applications. And it stands up under examination. Visitors can download a free evaluation copy of Risk Win, Ascendant’s trading and risk management system. This on-line application lets you perform multiple functions, including calculating value-at-risk on specified positions, marking to market, and stress testing.

Risk Win supports multiple currencies and is able to deal with risk managing of extensive portfolios as well as recognising counterparty and credit risk. The system also has the ability to analyse traders’ individual portfolios and, while there are a preset number of currencies included in the on-line version, users can generate new securities.