StatPro, a global provider of portfolio analysis and asset valuation services for the asset management industry, has released its latest version of StatPro Risk Management—an integrated, SaaS-based portfolio analytics platform that provides performance measurement, attribution analysis, analytics reporting, and much more, all from a single platform.

Rather than measure market liquidity risk by observed bid, ask and volumes alone, StatPro takes into account factors such as market capitalization, the percentage of ownership of a stock and the size of an issue for a fixed income instrument. The software facilitates the selection of the appropriate liquidity risk scenario and the computation of the expected loss for liquidity risk. The view includes a breakdown of the liquidity risk loss across various components.

Users can select one scenario and build a ‘tree’ of criteria for breaking down the liquidity risk contribution at each hierarchy level, down to single asset composition. Risk managers can drill down through every component of liquidity risk, discovering how much is coming and from where, without any previous knowledge of the portfolio. This enables them to ‘X-ray’ the liquidity risk of the portfolio, spotting any challenging situations.