Market risk refers to the risk of losses in the bank’s trading book due to changes in equity prices, interest rates, credit spreads, foreign-exchange rates, commodity prices, and other indicators whose values are set in a public market.
To manage market risk, banks deploy number of highly sophisticated mathematical and statistical techniques. Chief among these is value-at-risk (VAR) analysis, which over the past 2 decades has become established as the industry and regulatory standard in measuring market risk.
However, in the last decade shortcomings of VaR and other risk models have been exposed, driving the emergence of innovative products in the industry. It has led to regulators coming up with new methods to manage market risk, the latest being Fundamental Review of the Trading Book (FRTB).
OneSumX® Market Risk solution provides an integrated view of profit & loss and risk on your balance sheet, both from a risk and a business unit perspective.
Based on a centralized data structure specifically designed for financial institutions, our OneSumX® Market Risk solution offers all modern risk analytics and techniques, from basic sensitivity and gap analysis, through more advanced Value at Risk (VaR) techniques and into simultaneous dynamic simulation of credit and market risk, based on Monte Carlo modeling.
Estimate Portfolio Risk Across Multiple Models
Risk Factor Modeling
Assess Risk at Any Level of Granularity
VAR computation (Parametric, Historical & Monte-Carlo)
Incorporate Robust Risk Computations
Covariance Metrices builder
Comprehensive reporting with extensive drill-through
Centralized data organization - ensures that reliable data is achieved with a single data architecture
Flexible product modeling which enables correct product valuation, cash-flow generation and forecasting by assigning all contracts to a specific contract type
Advanced risk metrics including:
Out of the box advanced risk analysis: