Equity and Fixed Income portfolios

All types of bonds including structured bonds can be modeled in KRM. Bond coupons that depend on indexes, spreads between long and short-term rates, path dependencies like moving averages, accumulated caps and floors, range accruals, snowballs, and many other exotic structures can be configured. Amortizing bonds, bonds that have a structured payoff schedule, sinking fund schedules, teaser periods etc. can be configured such that the system generates the exact future payoff schedules. KRM’s multi-period valuation engine works for all instruments including bonds that have embedded options, are denominated in foreign currency, or where the size of the coupon is linked to an inflation index or the performance of an equity investment.

KRM can accommodate Equity multiple factor models that combine indexes such as sector, style, country, currencies, and any other relevant factors such as ESG. These factors are also used alongside other factors relevant to other asset classes to generate simulation used to value multi-asset class portfolios.

As with other asset classes, portfolio attributes can be used to aggregate risk and valuation measures at different levels.Portfolios allocation targets can be set up for each future period in the simulations.