Fixed Income Quantitative Analysis


GENESIS: Comprehensive Fixed-Income Analysis & Portfolio Management Suite

GENESIS is the GFA analytical platform that supports the quantitative analysis central to our activities. There are 5 major modules which can be accessed separately or in a unified system. All of the GFA consulting services draw upon this same environment. A distinguishing feature of GENESIS is its broad coverage which includes traditional fixed income, municipal bonds, and a wide range of derivative products. An integrated database supports all of the modules including extensive input data for the various analyses.

PRSCAN: Risk Profile Analysis For Your Portfolio and Individual Securities

PRSCAN provides the user with a comprehensive analysis of a fixed-income portfolio. The analyses range from a basic portfolio risk analysis statistic to a more complex analysis such as functional duration, and cross-sectional analysis.



A basic PRSCAN analysis can provide the user with the option-adjusted average duration, convexity, yield and fitted price. It can also summarize these key characteristics for every bond in the portfolio.

The PRSCAN system offers much more than the basic portfolio risk analysis. PRSCAN can evaluate portfolio characteristics, such as distributions in specific quality ranges, issuing sectors, maturity/duration categories and coupon levels. These characteristics can then be compared to those of an index or any other benchmark portfolio. This cross-sectional analysis can be used to assess the relative risk exposure of the portfolio compared to the benchmark.

PRSCAN also has the ability to compute capital at risk measures at both the portfolio and the individual security level with user specified risk horizons and probabilities.

Additionally, PRSCAN has the ability to calculate fitted prices. These fitted prices allow for a rich/cheap analysis of all the securities in your portfolio, including those which may not have prices available in the marketplace.

Depending on the instrument type, PRSCAN allows the user to choose different interest rate models and analytical methods to perform the analysis which is most appropriate. For example, plain vanilla bonds can be analyzed by the traditional discounted cash flow method. Bonds with embedded options can be modeled with the Cox, Ross and Ingersoll interest rate model. MBS, CMO and interest-rate derivatives may be analyzed by the Black Model.