Risk management data service

Data necessary for any risk management software can be divided into three groups: the quantity of assets in a portfolio (position), pricing data and statistics, and the product characteristics. While the position data is unique for each user, most data in the second and third groups are technically the same for all users.

Having conducted in-depth discussions with risk management practitioners, we have found that most of their time is taken up by "data cleaning" (omitting or replacing bad data with interpolated figures, or getting them from other sources) or getting the product characteristics (e.g. cash flows of Hungarian government bonds). These tasks are monotonic however, the accuracy of input data is crucial when looking to have the correct VAR figures.

Maintaining Varitron software is also much easier if programme stoppage due to bad prices or inaccurate product characteristics can be avoided.

The daily provision of accurate information is one way of avoiding such problems. For a monthly subscription fee, Ramasoft offers access to daily risk management data via file transfer through the Internet. For a trial of this service, please download figures for 13 December 1999.

Product range

Our service includes data for the following products:

• Listed Hungarian shares
• Hungarian stock indices (BUX, BUMIX)
• Collective investment units
• Hungarian government securities (treasury bills, fixed and floating rate bonds)
• Exchange traded futures contracts (interest rate, foreign exchange and equity)
• Exchange traded options (equity)
• Listed international shares
• International stock indices
• Insurance managed funds
• Hungarian government securities indexes (MAX, ZMAX, RMAX)

Data supplied

Our service contains the following data on a daily basis:

• Daily closing prices, settlement prices and the best bid and ask prices from the primary dealers of government securities
• Points of the Hungarian Government Bond yield curve (from a cubic spline interpolation of the above prices)
• Points of the Hungarian Mortgage Bond yield curve (from a cubic spline)
• FX rates as per the MNB (Hungarian National Bank) fixing
• Money market yield curves for currencies
• Net asset value of Hungarian open end investment funds per unit
• Net asset value of the Hungarian insurance managed funds per unit

Statistics

• Variance-covariance matrix calculated by our own model

Product characteristics

• Cash flows of Hungarian government securities
• Actual composition of the BUX and BUMIX indices
• Underlying products, expiration dates and exercise prices of exchange traded futures and options contracts
• Actual composition of the HUF currency basket
• Dividend payments of shares