![]() Complex benchmarkĪnother benefit of the Aladdin system for reserve managers is the ability to create customised benchmarks – measured against performance. For example, one institution has recently implemented VAR – which offers an alternative measurement to credit spreads – to determine expected credit loss by estimating probabilities of default, recovery rates, and provides a clear view via a rating transitions matrix. Central banks can choose the best individual or combination of metrics to suit each use case. While most central banks are not active investors in private assets, many sovereign wealth funds are investing in such areas.Īll of this is designed to give investors the data and transparency to make their own decisions across different metrics, including duration, convexity, value-at-risk, credit risk measures and credible stress tests. In the past year, the service has also included information on private assets, such as real estate, private equity and infrastructure. Whether its clients want to gain a better understanding of their underlying risks, asset allocations or green portfolio construction, the platform delivers an accurate feed for timely reporting of positions – both internally and externally managed – across most asset classes and instrument types, including derivatives, structured products and exchange-traded funds.īank of Israel has used Aladdin Risk since 2019 ![]() The system not only provides daily transparency via portfolio positions and exposures, performance and attribution, portfolio risk, scenario analysis, compliance and oversight, but also helps institutions – of all types – rethink and redefine portfolio management. This is where Aladdin Risk, the risk management engine developed by $10 trillion asset management company BlackRock, offers an edge. Being able to more accurately assess the real risks, returns and diversification trade-offs linked to portfolio positions against customised benchmarks using credible stress scenarios is crucial to ensuring investment positions are correctly balanced. This has presented a challenge for central banks, particularly those that have diversified their foreign exchange investments into new assets such as credit instruments and equities. Market moves in the past year have been highly volatile across several asset classes.
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