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The Market Risk Evaluator covers the market risk management process for active bank management and the fulfilment of regulatory requirements for credit banks. 

The ability to fully automate analyses and reports relieves the risk management team of repetitive manual work. With marginal costs of 0, calculations can be carried out daily. Time series with daily data points of all results make the development of the bank portfolio visible. 

Main features include

Market data consolidation

  • Interpolation of missing data
  • Definition of risk elements
  • Estimation of risk parameters

Cash flow calculation

  • Cash flow calculation for interest bearing products as a basis for market or liquidity risk considerations
  • Calculation of time dependent exposure profiles as a basis for time-to-maturity credit risk analyses
  • Calculation of the interest rate balance sheet
  • Calculation of total cash flow and currency positions
  • Term transformations
  • Basis point values
  • Zinskonditionsbeitragsrechnung
  • Identification of portfolio improvements and definition of IR and FX hedges
  • Control of dynamic hedges
  • IRBB stress tests

Simulations

  • Calculation of sensitivities to changes in risk elements
  • Estimation of portfolio values at risk
  • Application of full portfolio revaluations for long-term forecasts or delta-gamma-approximations for short-term forecasts
  • Modelling of market factors as

    • Geometric Brownian motions
    • Black-Karasinski process
    • Vasicek processes

  • Modelling of portfolio structures over time

    • Stable portfolio structure
    • Maturing cash flows and trades over time

  • Scenario analyses and stress tests

    • Arbitrary combined shifts of IR and FX rates
    • Optional floors for interest rate curves
    • Shifts of volatilities
    • Only interest rate or FX risk
    • Inverse stress tests: identification of the maximum stress level the institution can bear

  • Identification and evaluation of stress periods

Processing

  • Automatic and manual batch processing
  • Calculation with historical data
  • Portfolio and market factor backtesting
  • Stress-period search and application

Please contact us for further information.