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Liquidity Risk Measurement Module

26th Oct 2010 07:00

RNS Number : 9782U
Statpro Group PLC
26 October 2010
 



 

For Release at 07.00

Tuesday, 26 October 2010

 

STATPRO GROUP PLC

("StatPro", "the Company" or "the Group")

 

StatPro launches innovative liquidity risk measurement module

 

StatPro Group plc (AIM:SOG), the AIM listed provider of portfolio analysis and asset pricing services for the global asset management industry, announces an important breakthrough in its risk measurement research.

 

StatPro has designed an innovative approach to measuring market liquidity risk that does not rely solely on observed bid, ask and volumes. Instead, factors such as market capitalisation, the percentage of ownership of a stock and the size of an issue for a fixed income instrument are taken into account.

 

StatPro's 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 and can be broken down to single asset composition if required. The risk manager 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 tool enables the risk manager to 'X-ray' the liquidity risk of the portfolio, spotting any challenging situations.

 

Justin Wheatley, CEO of StatPro, commented "While innovations in the area of market risk have been very active in recent years - for example, introducing the concept of Value at Risk - little exists on liquidity risk. The reason is that while measuring market risk you can create models that are calibrated with market data, you cannot do the same for liquidity risk. The approach we have developed is a major achievement in measuring market liquidity risk when trading volume and market price information is not available and we are thrilled to offer this enhanced solution to our clients. We continue to invest in product development and believe this adds significant value to our offering."

 

 

For further information, please contact:

StatPro Group plc

www.statpro.com

Justin Wheatley, Chief Executive

020 8410 9876

Andrew Fabian, Finance Director

Cenkos Securities

Ken Fleming

0131 220 6939

Jon Fitzpatrick

0207 397 8900

Julian Morse

020 7397 1931

Threadneedle Communications

Tom Moriarty/ Caroline Evans-Jones/ Hilary Millar

020 7653 9850

 

About StatPro

StatPro is a leading provider of portfolio analytics and data solutions for the global asset management industry. The Company sells a SaaS-based Analytics and Data platform on a rental basis to investment management companies allowing them to analyse portfolio performance, attribution, risk and GIPS® compliance. StatPro also provides market data and valuation feeds including a Complex Asset Pricing service.

 

July 2010 saw the public beta launch of StatPro Revolution, an online portfolio analytics service offering performance, attribution and risk for portfolio managers all around the world, but at a fraction of the price such services used to cost.

 

StatPro has grown its recurring revenue from less than £1 million in 1999 to £28 million at end June 2010 and currently enjoys a renewal rate of approximately 90%. StatPro floated on the London Stock Exchange in May 2000 and transferred its listing in June 2003 to AIM. The Company has operations in Europe, North America, South Africa and Australia, with approximately 79% of recurring revenues being generated outside the UK.

 

 

This information is provided by RNS
The company news service from the London Stock Exchange
 
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