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Risk Management

Analysis and specialized consulting for institutional Clients

The Risk Management Office offers risk management and portfolio analysis services to Institutional Clients with a particular focus on the analysis of pension funds and the employers’ liability insurance association, and the constant updating of requests for reports and documents by supervisory authorities.

All this thanks to a professional team with a strong focus on innovation that today operates with total assets for over 4,5 billion. 

Four areas of specialization:

  • Performance & Attribution
  • Risk Reporting
  • Strategic Asset Allocation
  • Socio Demographic Analysis

Performance & Performance Attribution

Risk Management calculates portfolio performance by the Modified Dietz Method. Performance attribution analysis is elaborated with the Brinson model.

Risk Reporting

The risk calculation engine adopts a historical simulation model by mapping each instrument to specific risk factors and by using re-pricing of the most complex financial instruments. Thanks to the look-through approach to the funds in the portfolio, analyses are carried out at the highest level of granularity.

Strategic Asset Allocation

The analysis allows the identification of risk-return combinations. The models we adopt for implementation are: Black Litterman and the multivariate flexible GARCH.

Socio-Demographic Analysis

This service, which is primarily aimed at the supplementary pension sector, provides a detailed analysis of pension fund members from both a demographic and income point of view.