AVATI Solutions
RiskCube© Riskrator: Market Risk System

RiskCube© Riskrator: Market Risk System

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 mgt., VaR analysis, market risk limits management and comprehensive reporting. The integrated market risk system also helps in comprehensive management of Derivatives book including functions such as pricing, limit management, underlying portfolio mapping, measurement of hedge effectiveness, analysis of derivative portfolios, single trades, strategies in an integrated platform. Additional functions include scenario analysis, stress testing, risk management, pricing and P/L monitoring. Covers products ranging from vanilla to exotic derivatives.

Overview

  • Products covered: Bonds, Equity, Currency balances and Equity, Futures, Forwards, Swaps, FRAs, NDFs, Options, Swaptions, Cashflows, Structured & Exotic Products.
  • Risk reports: Detailed VaR, Volatility, C-VaR, Beta reports.
  • Sensitivity reports: Across asset classes including Duration, DV01, KRD, Exposures.
  • Scenario analysis: Yield curve scenarios and asset class scenarios.
  • Market risk capital calculation using VaR based model or standardized method.
  • Risk-return attribution for performance analysis.
  • Interest Rate Analytics: Duration gaps, DV01 gaps and earnings at risk for ALM.
  • Limit monitoring: For limits on risks, exposures and sensitivities.

Key Features

  • Calculate VaR at various levels/drill downs using either simulation, historic analysis or parametric modelling.
  • Look at several risk metrics in a single view: volatility, VaR, C-VaR, Beta, Duration, PV01, factor exposures.
  • Perform fixed income market risk analysis including duration exposure, duration gap analysis, basis risk, spread risk, key rate risk.
  • Drill-downs available at currency, geography, product, factor and sector levels.
  • Perform risk-return attribution for investments for identifying risk and return drivers.
  • Monitor all market risk limits including exposure limits, risk limits and sensitivity limits.
  • Sensitivity reports and scenario analysis. Scenario analysis will include yield curve scenarios, asset-class scenarios and spread scenarios.
  • Bank level interest rate risk through duration gap analysis and scenarios.
  • Comply with Basel II, Basel III guidelines on risk based capital and ICAAP.
  • Risk management of derivative book: Consolidated view of risks used for reporting, internal risk monitoring and limit monitoring.
  • Dealers can use Derivator for fair value pricing of vanilla and exotic deals. On the go pricing can help dealers/traders trade in derivatives more effectively.
  • Derivative sales: Derivative sales and Corporate banking teams can use the system for analysing strategies, trades and demonstrating the same to the clients. As the product is accessible from various devices Derivator eases the sales process for derivative sales person.
  • Perform hedge effectiveness analysis vis-a-vis underlying security for regulatory and internal assessment. Analysis will be in compliance with IFRS 9.
  • Compare performance of hedge with underlying security on retrospective basis and prospective scenarios.
  • Perform scenario and sensitivity analysis of both single trades and the book at the click of a button. Scenario analysis can include yield curve scenarios, currency scenarios and volatility scenarios.
  • Calculate Greeks (including delta, gamma, vega, theta) and other sensitivities (PV01 etc.) for single trades, strategies and the book. Monitor limits to Greeks, exposures, counterparties and products.
  • Cloud-based pricing GUI for quick online pricing: Empower corporate sales team to get indicative pricing of derivatives anywhere on the cloud.
  • APIs for integrating with other software (trading, back-office/mid-office etc.)