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