sitecontent

The WestLB Portfolio Analyzer is a flexible, Excel-based solution designed specifically for the valuation and risk analysis of your fixed income portfolios. The Portfolio Analyzer not only performs retrospective analyses but also generates ex ante simulations.
Our Internet database lets you freely access information pertaining to more than 20,000 fixed-coupon bonds, floaters and interest rate swaps, including price histories for over 1,000 bonds and interest rate swaps.
The modular architecture of this application provides you with a summary overview of your portfolio any time you wish.

Seals of quality

• The PriceWaterHouseCoopers public accounting firm has performed certain comparative calculations pertaining to the WestLB Portfolio Analyzer (14 Feb. 2006 version). The comparative calculations have been set forth in full, along with the results, in a disclosure statement. No objections to the comparative calculations have been raised. Click on the link in the right info box to view the disclosure statement.
  
• WestLB's Market Risk Management department has reviewed and certified the valuation methods used by the WestLB Portfolio Analyzer. Click on the link in the right info box to view the certification report.

Curve module

• Ex ante analyses are performed by entering an interest rate scenario for a given forecast horizon.
• By merely entering single-point forecasts, a complete curve is generated for a particular forecast horizon using the WestLB curve model.

Portfolio module

• You can define your portfolio by simply entering the amount of your positions along with the corresponding WKN or ISIN.
• Core data on the individual positions are then automatically downloaded from our database via the Internet.
• Each portfolio can be saved and reopened separately.
• Not only fixed-coupon bonds and floaters but also interest rate swaps and multi callable bonds can be analysed.
  

Analysis module

• If no prices are entered at the beginning of an analysis period by the user, historical prices will be downloaded from our database.
• For products with a low liquidity, modelled prices are derived using complex models.
• For ex ante analyses, prices at the forecast horizon will be determined assuming constant swap spreads and discount margins.
• Present-value analyses are also possible, including the impact on the balance sheet.

VaR module

• The market risk can be measured over any horizon.
• Both the historical and delta-normal value at risk can be computed.

Report module

• The report module provides you with a summary overview of the core data on your portfolio.