Installer

You can access the installation file and read the single page manual for this version.

To enable these features in your Excel you should install the new Add-in version. It is recommended to perform a full uninstallation of any previous version of the Add-in.

Templates

Since release 21.3, our Add-in offers the possibility to use templates that carry pre-defined functions and layouts so that analytics at the granular and portfolio level can be exposed. Release 21.8 welcomes two new kind of templates:

Global templates: These templates offer a large variety of analyses. Their goal is to propose a large number of different views that could complete the portfolio’s risk picture.

Alternatives template: This template produces analytics for structured products. The tabs are organized differently. These instruments carry dependencies on other products and are complex due to their derivative nature. In there, functions such as elAssetMeasure and elRiskFactorExposureFull(Aggregate) will provide the probability of default, the greeks, and the factor exposures that will help you determine the source of risk.

The templates have been through some modifications. Parameters are now in the “Inputs” tab and the management of weights includes the possibility of accounting for nominals (equivalent of quantities) and client’s prices. As some of the instruments are priced internally, these quotations might differ from the client’s quotes. Also, thanks to elPrc/PrgMethodology, classification analysis are easier to build.

To be noted: The new templates and latest improvements of the pevious ones are only accessible through version 21.8 of the Add-in.

New Functions

elRiskFactorExposureFull/Aggregate: This function computes the exposure of the asset to 4 risk factor buckets - namely, riskfreeZCBonds, riskyZCBonds, underlyings (implied volatility and spot), and cash. The sum of the exposures is equal to 1 which is the normalized value of the instrument (relative to its EL market value). The difference between Full and Aggregate is that one function will expose all the risk factor values while the other will aggregate them by buckets.

el/ewrRiskmeasureTaxons: The function allows you to define the taxons present in your portfolio and that is attached to each position. The calculation levels are contributions and positions. Taxons are like categories. For example, a portfolio may have two taxons: the currency and the country. Each position will have a currency and a country attached to it. The risk computation will then be able to aggregate the risk measure to the taxons level.

el/ewrStressDriver or el/ewrStressDriverPnl: just like elScenarioPnl or elStressScenario, this function offers the possibility to stress the portfolio or an asset under the conditions of a certain event (e.g. macroeconomic). The difference is that with this function, the shock can be customized. In other words, the magnitude of the test is not imposed by us but is chosen by you. To this function we added elStressDriverIds that list the stress drivers ids, their descriptions and shock type.

elPrc/PrgMethodology: The functions express the methodology behind PRCs or PRGs. For PRC, the parameter section is calibrated either on the “market universe” existing in EL or by one that you have defined yourself. For each of the instruments, the expected shortfall is computed and then sorted to obtain a distribution. The quantiles of this distribution characterize the bounds of each PRC level. The PRG parameters depend on the portfolio models that were used during the calibration. The bounds (risk measure of your choice) are derived from these portfolio models. From that point, each bound separates 2 levels of PRG.

Enhancements

ewr/elBenchmarkMeasure: New parameters are now available. In addition to the tracking error, you can retrieve the l2 distance as well as the beta to a benchmark. scalingHorizon and liquidityAdjusted are also added to the parameter list which broadens the scope of usability.

ewr/elRiskMeasure: scalingHorizon and liquidityAdjusted are part of the parameters. You are then able to customize the risk horizon and account for the liquidity risk if relevant use cases arise.

Prefixes are not mandatory: Prefixes are no longer mandatory. Before you had to add “bbg/”, “isin/” and so on before the id code. It is not the case anymore.

Ribbon

The organization and the look of the ribbon have been improved. The button “Library” brings together the side panel’s Templates and Scenarios. You can now access all available templates as well as descriptions and identities of stress tests directly from the file you’re working on.

Deprecations

Version 20.12 is now deprecated and will be removed at the end of the year from the documentation and will no longer be pro-actively monitored by the Add-in team.

Removals

Version 20.7.2 is now removed from the documentation and is no longer actively monitored by our Add-in and support team.

Roadmap

The next release will be focused on generating PDF report from the templates and the technology behind our Excel Add-in.

Please note that the information here is subject to change right up to release go-live time. This roadmap is not a commitment to provide any features by a certain time frame and enhancements to the product may change before release.