Market Risk (standardised)

From plain vanilla instruments and simple portfolio structures to the most complex OTC and exotic instruments across complex hierarchical structures involving thousands of portfolios, RiskValue provides all analytics and reports allowing you to effectively manage market risk, based on modern software architecture and robust calculation algorithms.

Main Features

Manage market risk capital

  • Calculation of position risk in trading portfolio via automatic conversion into regulatory equivalent positions, netting, and risk weighting
  • Support for all types of market risk, including Equity, Interest rate, Currency, and Commodity risks
  • Highly parametric, allows to maintain multiple parameter sets and scenarios for each individual risk type.
  • Supports all cash instruments and derivatives, including non-delta risk for options

Produce regulatory market risk reporting

  • Market Risk Reporting according to Common Reporting Standards (COREP)
  • Support for multiple jurisdictions with different national regulatory guidelines