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Overview

Profile Software’s Market Risk solution offers a number of advanced capabilities to serve this specific domain. The company has extensive experience in the market implementing both own and third party systems for measuring and managing Market Risk in various business settings and demanding environments.

Key Features

  • Market Risk according to the Internal Model Method with multiple methodologies (Parametric VaR, Historical Simulation VaR, Monte Carlo Simulation VaR)
  • Capability to evaluate simple and complex positions through Mark-to-Market and/or theoretical pricing supported
  • Absolute, Marginal & Relative VaR calculations for portfolios (i.e. total VaR amount, VaR contribution by position and VaR calculation against a Benchmark)
  • Sensitivity analysis calculation of Greeks, Beta and Duration
  • User-defined stress testing scenarios through an intuitive scenario set up user interface
  • Back-testing functionality
  • Market Risk reporting

Benefits

  • Provides compliance for the Internal Model approaches (VaR)
  • Easy calculation of VaR under various methodologies, and based on user-defined parameters like number of observations, confidence interval, time horizon, etc.
  • Facilitates market risk measurement and management through the calculation of sensitivities and outcomes of various stress testing scenarios
  • The Market Risk module can either be used stand-alone or be integrated with the client's existing infrastructure
  • Intuitive, user-friendly interface

 Why choose the Market Risk solutions by Profile Software?

Capitalising on proven experience in the marketplace and intensive know-how of the sector, the company's solutions for Market Risk allow organisations to select the ones that best suit their needs while achieving efficiency and compliance.

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