An integrated system to performs risk and return attribution of Equity, Fixed income and foreign exchange portfolios. It gives consolidated risk and return attribution with various drill-downs. The tool can be used for risk measurement and risk-reward analysis. Additional functionalities include pricing, volatility, basis risk management, VaR analysis, market risk limits management and comprehensive reporting.

Product Overview

  • Complete automation of IFRS 9 Data Load and Data Management Process – IIS, Collateral Allocation, Limits
  • Modeling at Account / Product level / Counterparty level
  • Credit Risk Mitigation, Collateral optimization as well as Collateral Valuation and Management
  • Group Consolidation and comprehensive regulatory reporting with drill down capabilities
  • Effective Interest Rate (EIR) Cash Flow mapping and calculation of EIR from raw data based on agreed business rules for all exposures

Key Features

  • Interest Rate Risk
  • Reports/Metrics: Interest rate PV01, bucketed PV01, IR VaR, Impact on NII
  • FX Risk
  • Reports/Metrics: Currency-wise Gaps, NOP, FX VaR
  • Public Equity Risk
  • Reports/Metrics: Public equity exposure, Equity VaR
  • Market Credit Spread Risk
  • Reports/Metrics: Credit spread PV01, Credit spread VaR
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