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User defined attributes can be defined for positions, instruments and portfolios. Additionally, different future behavioural changes (such as growth, defaults of large customers, deposits increase, etc.) can be tested in the presence of cash flow scenarios, in order to optimise the asset and liability management. Provides the means to present the disposition of future cash flows and detect any gaps, investment efficiency in the presence of different market scenarios.Market, volatility and value scenarios.Markowitz optimisation, including non-linear portfolios.investments in EUR > 30% and investments in USD < 40%. The optimisation is performed within user defined restrictions that represent portfolio owner preferences, e.g.Performs optimisation of risk and return and presents proposals for portfolio restructuring in the presence of different scenarios.With derivatives, Credit / Deposit Value Adjustment (CVA/DVA) is provided.Expected loss is calculated via spread curves assigned to respective issuers or via probability matrix, based on issuer ratings.Scenario projection – portfolio theoretical value, developеd over time, based on selected market scenarios.Basic sensitivities – durations, historical and implied volatilities, base point value, key rate values, etc.Market and theoretical values,profit / loss, return.When multiple scenarios are selected, results can be compared on all levels. Furthermore, all results are aggregated on each level of the portfolio structure. All evaluations are performed with regard to a selected market scenario.Market scenarios: FX scenario, stock index scenario, IR/yield curve scenario.issuer defaults, refinancing costs, realised by:.Provides means to define different strategies for scenario changes in the market environment in order to compose real-world scenarios, such as crisis, growth, market shocks,.
Manages the market environment and historical time series:.Static and dynamic portfolio structuring is possible.first by currencies and then by maturity bonds. Supports multi-level portfolio (re)structuring, based on calculation results and position properties.Settings, currencies, countries, cities, markets, financial calendar.Register of users, roles and rights to access the system.Lists of instruments, positions, filters, portfolios, scenarios, reports, etc.The produced analytical results and risk figures, along with other attributes, can easily be reported, using standard reporters, advanced reporting and OLAP presentation tools.Īll RE modules are highly flexible and can be changed according to customer´s needs. RE'architecture enables an easy integration into other existing systems or stand-alone operations, where data exchange is performed through imports and exports. The data access layer provides access to client data from different databases (from single databases or several or several ones from one database type or different ones) and accepts the import of data via the standard XML import. In this way, RE users can see the expected future behaviour of investment at different stress levels.ĭue to RE's scalability and performance, simulations can be performed at bank level or at its sub-levels that are represented by portfolios. indexes, yield curves, FX), client behavior (ALM Module) and position cash flows in the presence of market scenarios. RE performs sophisticated simulations of market factors'future behaviour (e.g. As an advanced analytical suite, it is applicable in banks, insurance companies, treasuries, investment funds, hedge funds as well as all other companies having an advanced investment / cash management.
#RISK ENGINE GISTOUT SOFTWARE#
Risk Engine (RE) is a software system that provides measurements for market risks and analysis of investments.
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