Market Risk

Faster and consistent valuations of market risks for optimised decision making

All risk factors (risks incurred by exchange rates, interest rate, share prices, prices of options, commodity prices) are covered in line with standard procedure and internal models based on value at risk (VaR) are also supported. Market risks are determined on the basis of individual deals and portfolios. A comprehensive drilldown functionality reduces reconciliation work by a considerable degree.

Effective risk control and consistent management of market risks in a bank

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. This ensures a consistent overview of all market risks as well as an effective risk control including legal requirements and develops potentials for market risk minimisation.

• Analysis of all risks according to their causes (exchange rates, interest rates, prices, volatilities) via user-definable portfolio hierarchies.
• Inclusion of hypothetical cash flows in risk analysis.
• Identification of open risk positions in interest rate or exchange rate exposure.
• Use of value at risk (VaR) by applying different interest rate scenarios such as Historical Value at Risk or Monte Carlo Simulation.
• Capture of downward price differences for used assets taking into account changes in market parameters.