Modern Risk Models

Not all investment platforms are created equal. While many rely on outdated risk models developed 50 years ago, Risk Shell analytics stand apart. Our platform integrates advanced models capable of understanding the intricacies of complex investment products, beyond the scope of traditional frameworks. Two key reasons drive Risk Shell's advanced analytics: our roots in alternative investments, starting with hedge fund risk assessment, and the ongoing collaboration with clients in our unlimited custom development on-demand program. Their input has significantly enhanced the platform, making it more sophisticated and effective.

Advanced Risk Shell Risk Concepts

We consistently enhance the platform by introducing new features and functions following a rigorous testing process. The roster of cutting-edge risk models includes the following:

• Non-linear and global portfolio optimization engines
• Factor regression models including LASSO, Ridge and Elastic-net
• Kalman filters
• The Akaike information criterion and Principal Component Analysis
• Value-at-Risk frameworsks including VaR, CVaR, HVaR, and MVAR
• Risk budgeting portfolio allocation models
• Portfolio diversification analysis
• Omega and Kappa risk statistics
• Copula-based modeling and stochastic simulation
• Auto-correlation filters for analyzing illiquid assets
• KSPME, Direct Alpha, and Index IRR statistics for private equity analysis
• Yale cashflow forecasting models

Risk Shell Proprietary Models

At ABC Quant, our focus extends beyond implementing sophisticated investment research; we actively develop our proprietary models and introduce new functionalities to Risk Shell. As a standard practice, we rigorously test these models on our own investments before making them available to the public. Key proprietary models developed by ABC Quant include:

• Macroeconomic Scenario Screening™
• Trend Segmentation™
• Multi-statistic Peer Group Analysis
• Market-neutral Portfolio Builder
• FlexiRank™ Framework
• Risk statistics: Consistency Ratio, Modified Calmar Ratio, and Stress Metrics
• Multi-Master, Multi-Feeder Portfolio Management Framework
• Return-adjustment Framework