Market Risk (standardised)
Main Features
Manage market risk capital
- Calculation of position risk in trading portfolio via automatic conversion into regulatory equivalent positions, netting, and risk weighting
- Support for all types of market risk, including Equity, Interest rate, Currency, and Commodity risks
- Highly parametric, allows to maintain multiple parameter sets and scenarios for each individual risk type.
- Supports all cash instruments and derivatives, including non-delta risk for options
Produce regulatory market risk reporting
- Market Risk Reporting according to Common Reporting Standards (COREP)
- Support for multiple jurisdictions with different national regulatory guidelines