Valuation Services > Portfolio ValuationsScenario Analysis Service

Markit Portfolio Valuations offers hosted, post-trade, scenario analysis by conducting a full revaluation of a trade or the entire portfolio based on user-defined stressed parameters.

Customers

  • Agencies
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  • Alternative investment funds
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  • Asset managers
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  • Auditors
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  • Banks
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  • Corporates
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  • Custodians
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  • Fund administrators
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  • Government authorities
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  • Hedge funds
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  • Insurers
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  • Mutual funds
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  • Pension funds
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  • Regulators
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  • Sovereign wealth funds
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  • UCITS funds

Statistics

  • 6.4m+independent valuations per month
  • 403k+unique OTC and cash positions valued

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Product summary

Faced with changes in regulations, accounting standards, investor reporting and risk management practices, financial firms need a better understanding of their exposure to various market factors as well as accurate measures of liquidity, funding and market risk.

Markit Portfolio Valuations provides tailored scenario analysis results on a standalone basis or alongside independent valuations, across rates, credit, FX, equity and commodities.

The fully hosted service calculates scenarios based on our existing valuation platform, which ensures that the market data, bootstrapping algorithms and pricing framework used for valuations and scenario analysis are consistent.

Scenario analysis results can be obtained daily, weekly, monthly or at the client’s desired frequency. There can be one or more stresses defined at the same time in a single scenario, and there can be multiple scenarios assigned to a single trade or an entire portfolio.

Example scenarios include the following:

  • Raw market data used for valuations

    - 1% change in FX spot

    - 10 basis point change in USD swap rate

  • Derived data

    - Parallel shift to the zero coupon or discount factor curve

    - Steepening of the default probability curve

  • Model parameters

    - SABR parameters for an equity volatility surface