Market Risk
Management
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Tailored Insights, Strategic Outcomes
Enterprise Risk Modules
Crafted to tackle the intricate challenges of market risk management, leverage the power of real-time insights and bespoke analytics. From interest rates to foreign exchange and instrument prices, institutions gain a strategic advantage, making informed decisions and proactive loss mitigation a seamless reality.
With regulatory compliance seamlessly integrated, your arsenal includes advanced risk analytics, empowering portfolio analysis, incisive stress testing, and enlightening scenario evaluation.
KEY FEATURES
Risk coverage in our Market Risk Solution provides banks with a quantified measure of potential losses at a specific confidence level, enhancing risk management and capital allocation decisions
- VaR Models – Historical Simulation, Variance Covariance framework, Monte Carlo simulation
- VaR Types – Incremental , Component VaR, Marginal VaR, Stress VaR
- Sensitivity Analysis – Duration, Modified Duration, Convexity, PVBP
Effective Capital Charge & RWA Computation
- Standardized Approach – General Market Risk, Specific Risk, CVA
- Internal Model Approach – Based on VaR models
Our Market Risk solution support wide range of financial instruments.
- Equity, Mutual Fund
- Debt: Central Govt./ State Govt./ PSU / Corporate Bonds, Treasury Bills, Certificate of Deposits, Commercial Paper
- Forex: Cash / Spot/ Forward
- Derivatives: Options, Futures, Swaps, FRA
- Commodities
MIS & Reporting in Market Risk Solutions provide comprehensive and timely risk information, enabling banks to monitor and report on market risk exposures effectively.
- Regulatory Reporting
- Executive Dashboard with Drill Down facility
- VaR Limits
- Custom Report Builder & Dashboard Builder
- MIS with various Dimensions
It offers advanced analytics and modelling capabilities tailored specifically for market risks faced by banks and financial institutions.
- Back testing & model validation
- VaR contribution by Dimension – Country, market , Product, Dealer , Transaction
- VaR comparison under different methods
Benefits
Our Market Risk Management Solution offers banks and financial institutions a range of business benefits which are listed below :
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