Market Risk Solution

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Overview

Enhance risk governance and management with advanced tools designed to accurately measure 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.

Key Features

Cross-Asset - Monitor cross-asset class risk: fixed income, credit, rates, FX, equities, loans & commodities

VaR Calculations - Calculate VaR across an entire portfolio using historical or Monte-Carlo methodologies

Sensitivities & Hedging - Comprehensive sensitivity analysis with consistent calculations across all asset classes

Limit Management - A flexible, integrated limit management framework with built-in workflow

'What-if' Analysis - A powerful and flexible risk engine provides advanced 'What-If' analysis to all market observables for accurate management of risk

FRTB - Support for all the main requirements of FRTB for both the Standardised Approach (SA) and Internal Model Approach (IMA)

Stress Testing - Integrated functionality to stress product attributes or market risk factors. Portfolio can be stress tested at future time points

Basel III - Full support for Basel Market Risk calculations and reporting requirements. Consistent with the new regulatory standards

Key Benefits

  • Seamless integration with existing systems with minimal disruption
  • Support for stress testing i.e. CCAR, HVAR and expected shortfall
  • A single view of market, liquidity and counterparty risk
  • Sophisticated cross-asset modelling and consistent pricing
  • Full transparency and control for all model inputs, methodologies, data, and results
  • Ground breaking performance using multi-core technology and numerical optimisation
  • Fully integrated with data vendors for seamless data management
  • Intuitive to use
  • Execptional training and support

Product/Service details

User Suitability (Capital Markets & Investment)
Brokers (Sellside), Capital Markets (Trading)
Geographic Availability
Africa, Asia-Pacific, Europe, Latin America, Middle East, North America
Asset Class Coverage
Bonds, Commodities & Energy, Equities, Foreign Exchange (FX), Funds, Futures, Options and other Derivatives, Money Markets, Structured Products