Tungsten Risk Management


Tungsten Frequently Asked Questions

Q: What security types are supported by the Tungsten VaR engine?

A: We support all asset classes and it's derivatives from equities, commodities, currencies, fixed income and credit.


Q: Are there any limitations in terms of how many securities and or strategies that can be processed by Tungsten?

A: No, the Tungsten system can cope with any amount of securities and strategies. Certainly, with a larger set of positions, and a diverse universe of strategies, it is advisable to have a database server that is powerful enough to handle the processing in a timely manner. For larger databases (with over 2,000 open positions at any one time), it is advisable to install Tungsten on a separate server to reduce the load on the main Tradar PMS database.


Q: What financial library does Tungsten use?

A: Instead of re-inventing the wheel, Lodestar has chosen the comprehensive financial libraries from QuantLib, written in pure C++ maintained and used by rocket scientists.


Q: How does Tungsten calculate ex-post risk data?

A: Tungsten seamlessly synchronize a daily month to date P&L with your EzeSoft Tradar PMS database. The series can be back filled for any period. The data is used to calculate ex-post data such as realised volatility, draw down, Sharpe, Sortino, benchmarks, correlations just to name a few. The time series matches eactly that of your books and records in EzeSoft Tradar PMS accounting system.


Q: What VaR models are used to estimate portfolio risk?

A: We support all the industry standard VAR models including Monte Carlo simulation, Historical simulation, Hybrid Historical simulation and Parametric delta-gamma model. We believe that using various ways of calculating a risk forecast you get a better understanding of the risk dynamics of the portfolio. With Tungsten at your fingertips you can adjust a multitude of parameters of the various risk models to match your expectations or mimic the result of other commercial solutions.


Q: Why should I choose Tungsten when there are so many other risk systems on the market?

A: One of the most important aspects of risk management is to have full control of your data - this is what we deliver with Tungsten. With seamless integration to Eze Software Group Tradar PMS accounting platform, we ensure that your risk system is perfectly aligned with your books and records at all times. You have access to ex-post and ex-ante risk data directly in the Tungsten system without the need to export your Tradar positions to another risk provider and then download that data again to compare ex-ante vs ex-post. Lastly, with our close relationship with Eze Software Group, we guarantee that the Tungsten risk system is always going to be perfectly integrated to EzeSofts Tradar PMS - one less risk for you to worry about.


Q: Do I need to provide my own time series data?

A: This is up to you. If you wish you can use the Lodestar security master database or supply your own time series data. We have data for world wide equities, commodities, fixed income and currencies. You can in fact combine both hosted prices with your own if you so wish. Our hosted prices solution is extremely competetive in pricing. It can be offered as a White Glove solution where Lodestar takes care of the mapping automatically (overseen by an experienced risk analyst) this way you will never need to worry about the quality of your data.