Market Risk Solution
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
