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Risk Management
Risk Management comprises performance measurement and risk control and is fully integrated in the investment process. It provides daily inputs to portfolio managers along with ex-ante analysis (eg. VaR, simulation of portfolios’ behaviour in different scenarios, expected yield) and ex-post risk profile measurements (tracking error and tracking error volatility, turnovers, risk and return ratios).
Activities include portfolios consistency check vs. set risk/return profiles and investment guidelines. Daily reporting monitoring risk exposures and performance as well as contibution analysis are also produced.
A risk platform is used to run various analyses such as:
  •  stress testing
  •  VaR measurement
  •  risk sources analysis
  •  delta adjusted market exposures
  •  sensitivities
Data are shared through a single IT infrastructure as a central source of information.
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