Video
RedES™ explained by its author
"RedES™, a risk measure in a Pareto-Lévy Stable framework with clustering" · opens on YouTube
Risk, measured where it matters
Ex-post reports and stress tests as a continuous service, built on RedES™: the proprietary risk measure that works on the tails — where shocks actually happen and where traditional measures fail.
Despite the overall loss in value of the equity market, by applying new risk models he added to clients' portfolios securities that made their value grow.
Il Sole 24 ORE — JOB24, «Effetto crisi: si punta sui financial risk manager», 18 January 2012 (our translation) · from the box «Gestori del rischio made in Italy» (the clipping)
RedES™
With RedES™ we provide consistent indications in very high and very low volatility regimes alike, avoiding pointless switches between risk classes and estimating risk correctly even on short historical series.
We have shown — in peer-reviewed publications — that this measure estimates risk far better than the measures based on normal statistics, volatility and parametric VaR first of all, which fail exactly when they would be needed.
Around RedES™ a coherent family of tools has grown: the RedCONE™ probability cone that draws the possible futures of an investment, the RedShield™ diversification indicator that guides committees, and the stable versions of VaR and Sharpe.
The service
The ex-post risk report analyses a portfolio from its historical series: performance against benchmark over multiple horizons, monthly and yearly tables, empirical, normal and stable risk metrics, and the visual dashboard summary that reads at a glance.
The part that sets us apart: the model is declared first. The expected parameters are fixed ex-ante, and the realised result is compared against the model's distribution — up to stating, with explicit statistical criteria, whether the strategy is doing what it declared. Few accept to be judged like this.
Stress tests estimate the portfolio's expected shock in extreme conditions, with the contribution of each single instrument: not just how much is at risk, but where it comes from. Reports and tests arrive in the client's working group, delivered by Lisa — monthly as a rule, and on demand when needed.
Scientific validation
RedES™ is not a black box: it has been published, peer-reviewed, and its effectiveness tested on more than 3,000 equities.
Video
"RedES™, a risk measure in a Pareto-Lévy Stable framework with clustering" · opens on YouTube
FAQ
A proprietary financial risk measure by Redexe, formulated in a Pareto-Lévy stable framework with clustering. It is designed to account for market shocks and bubbles, situations where measures based on normal statistics underestimate risk.
Volatility and parametric VaR assume normal distributions and fail precisely in the tails, that is when risk really matters. RedES™ works on stable distributions and accounts for clustering, staying consistent in very high and very low volatility regimes alike.
Performance against benchmark over multiple horizons, monthly and yearly tables, empirical, normal and stable risk metrics, probability cones and summary dashboards — plus the comparison between the realised result and the ex-ante declared model.
The strategy's expected parameters are fixed beforehand; then we measure where the realised result falls within the model's distribution. Explicit statistical zones state whether the strategy is consistent with what it declared, deserves attention, or the hypothesis must be rejected.
In the client's working group, by Lisa, the dedicated AI agent: scheduled reports on calendar and on-demand analyses, in the chat, always quoting the analysis date.
Asset managers, portfolio managers, financial institutions and advisors, in Italy and Switzerland. Redexe works strictly B2B and provides no services to private individuals.
Other services
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Contact
If you manage portfolios or products and want a measure that holds through shocks, message Riccardo Donati on LinkedIn.
No services to private individuals: Redexe works strictly B2B.