Market Risk Management Solution

Overview

As part of the risk management solution package offered, We’ve infused our Market Risk module with Value-at-Risk (VaR) assessments (Monte-Carlo Var, extreme VaR, market risk change…), drawdown and optimization algorithms along with a full suite of sensitivity analysis tools for prospective risk assessments at the counterparty and portfolio level.

Use our Market Risk Management Solution to conduct:

    • Investment performance analysis
    • Volatility sensitivity analysis in portfolio selection and asset pricing by market risk factors: beta, duration, option Greeks
        • portfolio sensitivity relative to the overall market
        • sensitivity to yield changes
        • price sensitivity
        • leverage
        • volatility sensitivity
        • time decay
    • Market risk assessment using different pricing functions at various aggregation levels
    • Preliminary market data processing and extrapolation
    • Yield curve estimation
    • Verification via backtesting risk models
    • Stress testing (ST) to set risk exposure limits and simulate portfolio returns

And with today’s increased focus on fiscal probity and regulatory requirements, we’ve designed our Credit Risk module to help companies reconcile parochial datasets and perform more exact credit risk assessments. With our user-friendly tool you can effortlessly conduct counterparty financial analyses (financial indices, internal ratings, credit limit), evaluate portfolio credit risk (credit VaR) and Perform default probability estimation by counterparty group, and monitor changes in data. Use our Credit Risk module to:

    • Check data integrity
    • Report counterparties to data warehouse, load and test for correct data
    • Aggregate groups and perform ratio analysis 
    • Monitoring and managing security portfolios

 We’ve also crafted an enhanced Portfolio Management module for keeping a keen eye on investment performance using statistical modeling functionality for calculating rates of return, hefty data and transaction loading capacities and advanced filtering and grouping power for effective portfolio monitoring. Our Portfolio Management module facilitates:

    • Formation of lots and positions on the basis of transactions using filters and groups 
    • Calculation of position values, market value, book values, realized and unrealized profit/loss, etc. 
    • Limits management 
    • Analysis and assessment of optimal portfolio structure