A powerful, high-performance platform that supports a full complement of measures for accurately managing market risk.
The complexity of market risk has increased significantly in recent years, driven by increased regulation, focus on internal risk standards, and changing market conditions. Having access to high quality data and risk models is important. Quantifi supports a full complement of market risk measures along with complex scenarios and stress tests. Key features include sensitivities to all market factors, comprehensive “what-if” analysis, regulatory stress tests, such as HVaR, and tail measures like expected shortfall.
Cross-asset Support - Market tested and validated models (fixed income, credit, rates, FX, equities, loans & commodities).
Analyse Sensitivities - Comprehensive sensitivity analysis to all market observables and underlying names within an index or basket.
Satisfy Compliance & Limits - A full suite of compliance features designed to mitigate exposure and a limit management framework with built-in workflow.
Support for Basel III - Full support for Basel Market Risk calculations and reporting requirements. Consistent with the new regulatory standards.
Conduct ‘What-if’ Analysis - A powerful and flexible risk engine provides advanced ‘What-If’ analysis to all market observables for accurate management of risk.
Comply with FRTB Requirements - Support for all of the main requirements of FRTB for both the Standardised Approach (SA) and Internal Model Approach (IMA).
Calculate VaR - Calculate VaR across an entire portfolio using historical or Monte-Carlo methodologies.
Perform Stress Testing - Stress product attributes or market risk factors. Portfolio can be stress tested at future time points.
Limit Management - A fully integrated, event-driven limit management framework to meet regulatory and capital requirements.