Market Risk

Market Risk Aggregation and Analytics

Market Risk Aggregation and Analytics

Calculate VaR and ES on moving data as it updates across asset classes and functional roles.

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VaR/ES

VaR/ES

Turn VaR and ES into functional metrics and see the results of an incremental change with each new trade and mind tail risk.

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Sensitivities

Sensitivities

Incrementally check risk sensitivities down to the trade level on data as it is updating.

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PnL Predict

PnL Predict

Monitor intraday PnL and quickly assess the impact of risk factors, new trades on the portfolio.

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Fundamental Review of the Trading Book (FRTB) - BCBS 457

Fundamental Review of the Trading Book (FRTB) - BCBS 457

Move beyond the banking supervisory requests. Perform predictive analytics and optimize capital while meeting FRTB regulations.

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Real Time Limit Monitoring

Real Time Limit Monitoring

Set and check limits at any granular level of data aggregation, then simulate the impact of new transactions on those aggregates.

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Product Control

Product Control

Facilitate collaboration between the front office and risk and finance in a single, multidimensional, dynamic analytics environment and validate trading risk and performance.

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PnL Explain

PnL Explain

Drill into data to understand what risk factors or market data segments are driving any day-to-day changes in PnL.

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Liquidity Risk

Liquidity Risk

Liquidity Risk

Combine cash flows from multiple systems and view and control balance sheet risk.

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Intraday Liquidity Risk - BCBS 248

Intraday Liquidity Risk - BCBS 248

Slice and dice tens of millions of records per day and ensure timely payments.

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LCR and NSFR – BCBS 238, 271

LCR and NSFR – BCBS 238, 271

Synchronize bank liquidity with time, cash flows and risk engines across borders.

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Cash Flow Aggregation

Cash Flow Aggregation

Identify a funding gap between assets and liabilities and plug it.

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Balance Sheet Management

Balance Sheet Management

Manage assets and liabilities across dimensions and the organization.

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IRRBB

IRRBB

Match interest rate sensitive assets and liabilities and manage long-term risk, fluidly.

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Related Resources:

Next Generation Liquidity Risk Management Brochure - Next Generation Liquidity Risk Management Download

ActiveViam Intraday Liquidity Risk Brochure - ActiveViam Intraday Liquidity Risk Download

Collateral Optimization Case Study - Collateral Optimization Download

Credit Risk

CVA PFE Aggregation and Analytics - BCBS 325

CVA PFE Aggregation and Analytics - BCBS 325

Precisely hedge CVA incrementally or recalculate on the fly with up-to-date sensitivities.

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Credit Risk with Limit Monitoring

Credit Risk with Limit Monitoring

Maintain a watchful eye over your credit portfolio.

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SA-CCR - BCBS 279

SA-CCR - BCBS 279

Slice and dice data and perform dense calculations that feed into the regulatory requirements.

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Counterparty Credit Risk - BCBS 424

Counterparty Credit Risk - BCBS 424

Create a hub to corral counterparty credit risk.

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IFRS9

IFRS9

Monitor expected credit losses and mind the default gap.

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Buy-Side Risk

Asset Managers / Pension & Mutual Funds / Insurance Companies

Asset Managers / Pension & Mutual Funds / Insurance Companies

Harness data, then aggregate it and examine risk across the enterprise.

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Hedge Funds

Hedge Funds

Perform real-time analysis on data as it’s updating and see the impact across accounts or on the portfolio.

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Collateral and Margining

Inventory Analytics

Inventory Analytics

Catalogue financial instruments – group holdings by rating, maturity, risk sectors and other attributes.

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Collateral Optimization

Collateral Optimization

Assess the suite of pledged securities and requirements and automate or run multiple optimization scenarios interactively.

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Real Time IM/VM

Real Time IM/VM

Create an environment to optimize initial and variation margin and monitor a potential threshold when you near a breach of a CSA.

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SIMM-ISDA

SIMM-ISDA

Manage uncleared margin rules for OTC derivatives and risk not in SIMM.

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case study cme group

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Collateral Optimization Case Study - Collateral Optimization Download

Valuation Adjustments

Credit Valuation Adjustment

Credit Valuation Adjustment

Simulate the outcome of entering into a trade by calculating counterparty risk in real-time and enable trading.

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Market Risk

Market Risk Aggregation and Analytics
Market Risk Aggregation and Analytics

Slice and dice data by instrument, product, trade attribute or position across desks, books, portfolios and calculate VaR/ES and sensitivities. Continuously feed sensitivities to calculate the outcome incrementally on live data as it updates. Cut and slice the risk across currencies. Drill down at various levels (book, instrument), isolate a specific PnL or risk measure all the way down to the trade level. Create approval workflow capabilities with a full audit trail and sign off on adjusted data.


Accelerators

Market Risk

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VaR/ES
VaR/ES

Examine a sharp day-to-day jump in VaR, test the move from 10-day tail ES to five days for a certain product or change the confidence level from 95% to 99% and instantaneously see the results. Drill down to PnL vectors, investigate stress scenarios and evaluate the impact on the desk, book, all the way up to the enterprise. See the marginal contributions attributed to each member of any dimension added to the dataset.

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Sensitivities
Sensitivities

Aggregate sensitivities (including exotic sensitivities like volga and vanna) across the balance sheet and across currencies, incrementally and in real time on data as it updates. Perform linear allocations to tenor ladders, map to vertices on the fly and apply to the book, desk, portfolio or enterprise level.

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PnL Predict
PnL Predict

As soon as a new trade or set of trades is booked, automatically recompute risk and PnL measures and push the delta update to users’ screens - providing traders with continuous, up-to-date visibility of their risk and PnL. Create scenarios and check how a move in delta impacts PnL figures. Replace the need to do full valuations to quickly see the impact of market data changes on transactions. Market data moves are tracked and combined with the sensitivities to produce a new PnL value for each transaction at regular intervals.

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Fundamental Review of the Trading Book (FRTB) - BCBS 457
Fundamental Review of the Trading Book (FRTB) - BCBS 457

Perform the most complex, analytically intensive calculations at scale, across the enterprise. Deftly handle large volumes of data to carry out the PnL attribution tests. Create alignment from desk heads through to risk managers in a single thread in terms of capital allocation for both SA and IMA. Precisely calculate regulatory capital and free up funds to redeploy elsewhere.

Standardized Approach Compute all SA regulatory metrics (SBM, DRC and RRAO), from trade attributes and trade risk data. Simulate the FRTB SA model across jurisdictions. Deliver full transparency around SA calculation steps and day-to-day changes in the capital charge.

Internal Models Approach Carry out PLA tests and back testing to stay within IMA scope. Test model durability. Run What-If scenarios and investigate how the addition or subtraction of a particular set of trades or trading book, etc., will affect the desk.

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Real Time Limit Monitoring
Real Time Limit Monitoring

Monitor limits in real time with a system that supports What-If simulations and pre-deal checks. Build or define new limits to monitor on the fly. Drill down to any metric or to the trade/position level detail to identify where a breach occurred. Allow for temporal overrides and breach management workflows. Adjust the data and update it on the fly, then send through for approval processes.

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Product Control
Product Control

Incrementally make changes on the fly as data updates to facilitate the product validation process and generate PnL. Add late trades concurrently while signing off and merge them if necessary. Maintain a full audit trail. Create and view interactive reports and seamlessly route them for approval or for further examination if warranted.

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PnL Explain
PnL Explain

Load and consolidate disparate data volumes from trade, position keeping systems and risk engines and integrate live market data feeds to compute PnL Explain measures. Drill down to any level of granularity and view the actual day-to-day shift in any data that contributed to the change in PnL and instantly update it.

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Liquidity Risk

Liquidity Risk
Liquidity Risk

Starting from the individual cash flow level – enable instant computation of running balances and liquidity risk metrics such as survival period, liquidity gap and/or regulatory ratios. Create new stress scenarios on the fly and view them through any available dimension, drilling-down on any metric to understand the impact of a shock. Multiple stress tests can be easily combined together, without relying on IT each time a new shock is defined.

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Intraday Liquidity Risk - BCBS 248
Intraday Liquidity Risk - BCBS 248

Aggregate data across payment systems, counterparties, currencies, geographies and numerous other dimensions and examine the results. Drill down to key indicators associated with counterparty non-payment and detect behavior that may lead to a late or missed payment. Compute the ‘Min and Max’ intraday net cumulative balance for each payment system and perform stress testing on the fly such as the impact of a delayed payment.

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LCR and NSFR – BCBS 238, 271
LCR and NSFR – BCBS 238, 271

Drill down and view hundreds of granular level details within the balance sheet such as position level data on a portfolio of loans with different maturities. Substitute a portfolio, test how it will impact the liquidity coverage ratio or net stable funding ratio. Build and see internal and regulatory classifications in the same environment.

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Cash Flow Aggregation
Cash Flow Aggregation

Aggregate cash flows from any part of the bank – across balance sheets, hierarchies, legal entities – and manage risk in one place. Measure gaps, funding costs and other liquidity ratios, compare prepayments/delayed payment assumptions.

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Balance Sheet Management
Balance Sheet Management

Select multiple cash flow criteria, such as instrument type, counterparty and rating and define the stress scenario scope, then dynamically break down ratios according to any level of detail - with no limitations. Run simulations on rebalances to see the impact on ratios. Test different reallocation scenarios, i.e. pre-trade simulations, CSA parameter changes, inventory change simulations and rating/margin change simulations pledged against balance sheet loans.

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IRRBB
IRRBB

Examine how net interest income would change in response to interest rates. Create a negative interest rate scenario and look at the impact on the banking book. Run mismatches in timing and the slope and shape of the yield curve and get ahead of dire outcomes. Monitor imperfect correlations among rates on different instruments and create a business environment to adjust them.

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Related Resources:

Next Generation Liquidity Risk Management Brochure - Next Generation Liquidity Risk Management Download

ActiveViam Intraday Liquidity Risk Brochure - ActiveViam Intraday Liquidity Risk Download

Collateral Optimization Case Study - Collateral Optimization Download

Credit Risk

CVA PFE Aggregation and Analytics - BCBS 325
CVA PFE Aggregation and Analytics - BCBS 325

Analyze CVA, PFE, or EPE down to the individual trade level and understand significant deviations at any point in time. Consume market data and other trade attributes and expose multiple counterparty credit risk related parameters such as CSA terms and collateral and netting sets for interactive analysis. Aggregate massive amounts of individual scenario simulations across hundreds of time points incrementally and tens of thousands of scenarios, performing netting and delivering credit risk measures in a split second. Determine the cheapest CVA counterparty or simulate the impact of a rating change using ‘What-If’ analysis.

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Credit Risk with Limit Monitoring
Credit Risk with Limit Monitoring

Examine the impact of a change in a counterparty ratings downgrade. Do it at scale across hierarchies (country of risk, counterparty, organization) or on a few trades or one book. Create scenarios to test sharp swings in markets that result in counterparty default. Swap out certain long-dated positions (such as illiquid instruments) in trading portfolios for higher quality assets to test issuer credit risk. Check credit limits incrementally on new trades or positions as they update.

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SA-CCR - BCBS 279
SA-CCR - BCBS 279

Consolidate data from different source systems into a unified platform. Simplify highly complex data gathering across asset classes, netting and hedging sets, down to trade level details. Run simulations such as swapping one set of margined trades out for unmargined trades and view the impact on the capital charge instantly. Swiftly view and report findings to supervisors on interactive dashboards.

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Counterparty Credit Risk - BCBS 424
Counterparty Credit Risk - BCBS 424

Compute counterparty credit risk exposure and CVA on the fly. Examine the impact of a change in an underlying credit spread. Swap out one counterparty for another and view the impact across any dimension, country or product type. Run exposure at default scenarios to determine whether increased margin or a change in CSA terms is needed. Hypothetically close out netting sets to determine a net loss or gain.

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IFRS9
IFRS9

Classify certain assets. Use What-If scenarios to test the impact of a default. Check specifics of loans, mortgages and credit card accounts and calculate probabilities of defaults and loss given defaults on the fly.

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Buy-Side Risk

Asset Managers / Pension & Mutual Funds / Insurance Companies
Asset Managers / Pension & Mutual Funds / Insurance Companies

Create a global or fund-level view of closing and intraday risk and cover the blind side. Use ActivePivot to aggregate datasets. Then drill down by instrument and position, across funds, an individual fund or portfolio and decompose risk. Continuously check accounts and update clients on a daily, weekly or on an ad-hoc basis.

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Hedge Funds
Hedge Funds

Investigate data from the top of the organization down to any level of granularity across funds and evaluate risk in real-time. Calculate risk measures (such as VaR and vol) for each business line within those subsets. Run interactive analysis and compare historical data with the most recent data. Set limits and test those limits with interactive What-If analysis.

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Related Resources:

ActivePivot for the Buy-Side Case Study - ActivePivot for the Buy-Side Download

ActivePivot for Hedge Funds Case Study - ActivePivot for Hedge Funds Download

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Collateral and Margining

Inventory Analytics
Inventory Analytics

Switch out one group of instruments for another and survey the overall impact of inventory quality or any metrics. Examine holdings and create new groupings of instruments. Perform real-time portfolio analytics. Scale across the enterprise.

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Collateral Optimization
Collateral Optimization

Drill down to a granular level to see the attributes such as a cluster of a certain rating, inventory by counterparty and concentration of pledged and unpledged instruments. Use What-If scenarios to examine the impact of a ratings change or any CSA terms. Use the Accelerator to optimize the best usage of collateral and retain the best quality of positions. Automate the allocation process or compare multiple optimization strategies.

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Real Time IM/VM
Real Time IM/VM

Assess the best collateral to post with regard to CSA, strategy and margin call. Perform What-If analyses before you close a deal, or simulate a different desk allocation, a netting set reorganization or any CSA terms. Check the impact of market moves on variation margin and current collateral posted. Decompose the margin costs beyond the netting sets to allow for internal allocation.

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SIMM-ISDA
SIMM-ISDA

Simulate any given trade with different counterparties and highlight the lowest SIMM amount. Change CSA parameters and see the impact on the current margin levels. Examine second and third order of sensitivities and perform calculations by netting set. Execute a top to bottom analysis and identify the cause of a particular number. Automate alerts and monitor any set breaches.

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case study cme group

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Collateral Optimization Brochure - Collateral Optimization Download

Valuation Adjustments

Credit Valuation Adjustment
Credit Valuation Adjustment

Empower the trading desk with immediate analysis of the impact of a counterparty’s credit risk on a trade, desk, portfolio and balance sheet, all the way up to the capital charge. Examine the results across currency and geography, practically any dimension. Create hundreds or thousands of scenarios driven by a Monte Carlo model then slice and dice and aggregate the data without fear of losing performance from complex inputs.

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