 "Required capital per market risk segment of total bank")
Effective risk control and consistent management of market risks in a bank
Market risk is defined as the risk that the value of a portfolio will decrease due to the change in the value of market risk factors. As with other forms of risk, the potential loss amount due to market risk may be measured in a number of ways or conventions.
Measuring the potential loss amount
In FlexFinance, all risk factors (risks incurred by exchange rates, interest rates, share prices, prices of options, commodity prices) are covered in line with standard procedure. The software provides a reliable solution for the calculation of traditional risk measures, traceable on a single deal basis and expandable to advanced methods.
Internal models based on value at risk (VaR) are also supported. The FlexFinance Value at Risk calculation is fully integrated into the static analysis for market risk. The user can combine static "what-if" scenarios with a VaR calculation to ensure a comprehensive view of potential future risks.
Market risks in FlexFinance are determined on the basis of individual deals and portfolios. A comprehensive drilldown functionality reduces reconciliation work by a considerable degree.
The FlexFinance splitting concept for hybrid products, in compliance with regulatory standards, allows all innovative financial instruments to be mapped accurately, including the valuation of products with complex interest rate agreements, as are inherent to corridors, snowballs, ratchets and digitals.
FlexFinance provides a consistent overview of all market risks, ensures effective risk control in compliance with legal requirements and develops potentials for market risk minimisation.
