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TMCNet:  Savvysoft Releases OTC Backtesting&Risk on new Bloomberg App Portal

[November 15, 2012]

Savvysoft Releases OTC Backtesting&Risk on new Bloomberg App Portal

NEW YORK --(Business Wire)--

Savvysoft today released OTC Backtesting&Risk for the Bloomberg (News - Alert) App Portal. OTC Backtesting&Risk enables OTC derivatives users in the Equity, Interest Rate, FX and Commodity markets to quickly generate a time series of mark-to-model historical prices for a variety of plain vanilla and complex, illiquid derivatives, and to generate Historical VaR and CVA.

Investors, salespeople, and structurers can quickly track the historical performance of any plain vanilla or complex derivative or structured note to assess the likely future behavior of the instrument

OTC Backtesting&Risk leverages Savvysoft's award-winning TOPS derivatives pricing models and Bloomberg Professional service data for equity, commodity and FX prices, interest rates and volatilities to rapidly generate a time series of historical prices. This time series can then be analyzed, with detailed risk and return statistics automatically and expeditiously calculated, along with VaR and CVA.

Risk managers and traders can view VaR for individual instruments, as well as portfolios, trading strategies and customized structured products that are combinations of core component derivatives

OTC Backtesting&Risk calculates several statistics, including the mean, standard deviation, and percentiles of the frequency distribution. The 5th-percentile worst case loss is the Value at Risk, or Hitorical VaR.

Credit risk managers and swaps clearing firms can calculate CVA based purely on historical data

OTC Backtesting&Risk employs a multi-period Monte Carlo simulation to generate future scenarios of instrument values over many periods. The simulation is driven by historical data, and the advantages of Historical VaR over Monte Carlo, including no estimation of correlations, applies to OTC Backtesting&Risk's CVA.

The app also includes a calculator and both a 2-D graph and a 3-D interactive heat map.

Backtesting and VaR can be generated for instruments that either roll down over time, or have constant risk

Users can choose whether the instrument's expiration roll during the backtest, or whether risk remains constant by holding expiration constant.

They can also choose whether the strike price stays constant during run, or whether it changes to keep moneyness constant.

The Bloomberg App Portal provides seamless integration for apps to run inside the Bloomberg Professional service

Bloomberg Professional service subscribers globally can access Savvysoft OTC Backtesting&Risk at {APPS SAVVY<GO>}. The app can be licensed for $499/month and operates in the Bloomberg environment so user workflow is not interrupted.

Bloomberg Professional service subscribers can access the Backtesting&Risk app by typing {APPS SAVVY<GO>}. Access to the app is available for a trial period at no cost.

For more information about the Bloomberg App Portal please visit, or type {APPS<GO>} on the Bloomberg Professional service.

OTC Backtesting&Risk is available immediately. For more information please visit, or contact Savvysoft via email at

About Savvysoft

Savvysoft is a New York City-based provider of award winning OTC derivatives pricing analytics, and portfolio and risk management systems. Savvysoft's Interest Rate Pricing models are consistently ranked #1 in annual Risk Magazine Derivatives Technology Surveys. Savvysoft products handle OTC derivatives in the Rates, Inflation, Credit, Equities, FX, Commodities, Convertibles, Energy and Electricity markets, and are used by thousands of users at top-tier banks, dealers, brokers, money managers, energy suppliers, corporate treasurers, and auditors globally.

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