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GAIN Market Risk

Functionalities


  • Market Risk Management: Calculate Value at Risk | Calculate other risk and performance measures | Attribute specific risk components | Easily switch valuation currencies, benchmarks and yield curves | Actively identify and steer risk exposures.
  • Pricing / Mark-to-market: Compute theoretical prices with extended support for derivative instruments and structured products | Define proprietary benchmarks using model portfolios or synthetic instruments and baskets
  • Support of a wide range of financial instruments. New instruments/structures can easily be implemented into the system
  • Grouping and filtering of already existing portfolios, scenario/test portfolios and sub portfolios
  • Asset Allocation: Assign positions to portfolios using Boolean operators | Extract user specific reports and store allocation definitions for further use
  • Limit Management: Use flexible triggers and alarms if limits or thresholds are broken | Initiate workflows (e.g. notification by e-mail) | Support volume, performance and risk limits.
  • Simulation: Apply scenarios, stress tests and simulations to portfolios and groups | Use Monte Carlo simulations to analyze the foreign exchange and price effects of buy and sell transactions | Supports Boolean operators for defining groups.
  • Data Visualization: Use consolidated out-of-the-box or customized risk and performance reports and enrich them with data from your internal applications
  • Workflow Management: Define conditions and rules for routing and archiving data and reports
  • Exception Handling: Clean and reconcile several data sources | Define the desired exception handling and quality checks for faulty data