Market Risk


The Razor™ Market Risk module provides comprehensive market risk functionality to enable financial institutions of all sizes to meet internal and regulatory market risk management requirements. The product utilises the same scenario-based framework built on common pricing and risk modelling libraries as the Counterparty Credit Risk offering, as Razor™ is fully integrated, Market and Trading Credit Risk functionalities allow for synergies and cost-efficiencies in deployed risk technology within a financial institution.

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    Historical Simulation

    VaR using historic scenarios

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    Monte Carlo Simulation

    Path based simulation

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    Credit VaR

    Modelling credit risk statistically

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    Stressed VaR

    Shifting scenarios for tail risk events

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    VaR Varieties

    Stressed VaR
    Incremental VaR
    Conditional VaR
    Relative VaR
    Marginal VaR
    Component VaR

The Razor™ Market Risk module includes the following functionality

Reporting, Drill-down and What-if Analysis

  • Extensive market risk reporting within Razor™
  • OLAP reporting for sensitivity analysis
  • Capability to develop external reports on the Razor™ results
  • Full drill-down to the Transaction or Scenario detail to analyse all market risk results
  • What-if analysis for new, amended or deleted trades
  • Pre-deal check and limit monitoring

Market Risk Workflow

  • Base-lining of new VaR results to a previous base-line
  • Incremental processing of any amendments for real-time VaR analysis
  • Full audit trail and logging of all aspects of the market risk calculation
  • Integrated limit management capability to enable limits to be set on key areas of risk concentration e.g. risk factor, desk, product, trader, trade volumes or values.

Scenario Analysis

  • Pre-defined historical scenarios
  • User-defined hypothetical scenarios
  • Stress Testing
  • Sensitivity analyses including PV01, CS01, Greeks, Parallel and Non-Parallel shifts can be performed by shocking any group of risk factors.

Back-testing

  • Back-testing of VaR and Stress Testing results for model assessment/validation
  • against Theoretical P&L
  • against Realized P&L
  • P&L Attribution

Extendibility

  • New pricing models or products can be added to the calculation
  • Results can be aggregated externally to Razor™ and aggregated into the overall calculation
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MARKET RISK
CVA
CAPITAL MANAGEMENT
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CLEARING RISK
LIQUIDITY RISK
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