XXXX? Enterprise Market Risk
Market Risk Done Right
The XXXX Enterprise Market Risk solution delivers timely, accurate and comprehensive risk measures to traders, risk managers, regulators and senior management. XXXX provides the tools to effectively monitor and understand the complexity inherent in global capital markets portfolios with comprehensive and consistent coverage of foreign exchange, fixed income, interest rates, credit, equity, and commodity asset classes.
With the XXXX Enterprise Market Risk solution, market risk managers can view the real-time snapshot of all key portfolio risk measures across both high volume cash products and high margin structured derivative products. Drill-down and roll-up capabilities allow users to quickly identify areas of concern and explain the sources of risk. XXXX Enterprise Market Risk solution offers:
Scenario Analysis and Stress Testing
VaR Simulation
Risk Factor Sensitivities
Risk Attribution
Back Testing
Marginal VaR and Incremental VaR
Economic and Regulatory Capital Calculations
The XXXX Enterprise Market Risk solution can be used as a standalone firm-wide risk management system. It seamlessly integrates with other providers of risk data and analytics allowing risk managers to consolidate cross-asset, global risk exposures across the enterprise. The benefits of using the XXXX Enterprise Market Risk solution include:
Risk factor sensitivities with Greek analyses for managing market positions
Value-at-Risk simulations with full drill-down and explanations of results
P&L back testing corresponding to Bank of International Settlements requirements
Daily stress testing on historical or user-defined scenarios for loss analysis
Manage market risk capital adequacy for internal and regulatory reporting
XXXX Enterprise Market Risk – Functional summary
Portfolio hierarchies
Definition of hierarchies
Flexible hierarchy creation to reflect the organizational structure for reporting
Use of hierarchies
Aggregation of results by hierarchy node
Choice of more than one hierarchy for flexibility in reporting
Versioning of portfolio hierarchy for as of date reporting
Value-at-Risk
Scenario generation
Historical database of market data
Scenario generation from historical data
Scenario generation using Monte-Carlo
Import of externally generated scenarios
Flexible choice of horizon (1 day, 10day) and observations (1 year, 2 year)
Choice of scenario shift by risk factor e.g. fractional, relative, absolute
Multiple scenario sets e.g. for 1d and 10d
Periodic update of scenario sets e.g. daily, weekly, monthly)
Simulation
Choice of pricing models
Choice of market data sets e.g. middle office independent from front office
Simulations to output full PL vectors
PL vectors stored at portfolio level and position/trade level
Simulations distributable over a large scale compute grid
Results
VaR result summary views by currency, product, book, strategy, date
VaR results separated by risk class e.g. FX, rates, credit, equity, commodity
Confidence level, horizon and observations to be changeable
VaR Histogram display
VaR drill-down to position/trade results
Attribution of VaR scenario loss to risk factor
Marginal VaR and incremental VaR
Risk factor sensitivities
Standard Greeks
Delta, Gamma, Vega, Theta, …
Summary views and by currency, product, book, strategy
Drill-down to position/trade level results
History of official closing results for each business day
Stress testing
Historical stress tests
Generate from historical market data
Multiple stress tests and worst-case loss
Drilldown to position/trade results
Attribution by risk factor
User-defined stress tests
Rules to define shift operations on market data
Formulas for calculating risk measures
Back testing
Hypothetical PL
No-Action PL, due to market data only
PL Attribution by risk factor
Actual PL
With PL explanation e.g. new trades, market data change, Theta
Back test report
Daily view of VaR and PL numbers for a period e.g. 60, 100 or 250 days
Back test graph with VaR and PL
Drill-down on exception results
Capital
Market risk capital
Regulatory or economic capital
Risk assets
XXXX?企业市场风险管理系统
市场风险修正系统
“XXXX企业市场风险管理”解决方案为交易员、风险管理人员、调控者及高级管理层提供及时、准确、全面的风险度量。卡率普索公司提供对全球资本市场投资组合进行有效监控、并理解它们固有复杂性的工具,这些工具全面、一致地覆盖了外汇、固定收入、利率、信贷、股票和商品这些资产类别。
凭借“XXXX企业市场风险管理”解决方案,市场风险管理人员能够查看所有关键投资组合风险度量的实时快照画面,包括从成交量巨大的现金产品到高利衍生产品的整个范围。它的钻取与展开能力使用户能够快速查找相关区域,并解释风险的原因。这套软件提供如下功能:
情境分析与压力测试;
风险价值(VaR)仿真;
风险因素敏感度;
风险归因;
回溯测试;
边际风险价值与增量风险价值计算;
经济资本和监管资本计算。
“XXXX企业市场风险管理”解决方案能够作为一套独立的全企业范围风险管理系统来使用。它能够与其它风险数据和分析软件的无缝整合,允许风险管理人员合并整个企业跨越资产类别的全球风险敞口。它的优点包括:
提供风险因素敏感度,并附有用于管理市场头寸的价格敏感度(Greek)分析;
风险价值仿真,附有对结果的完全钻取式访问功能和完整解释;
符合国际清算银行要求的盈亏回溯测试;
对亏损分析的历史数据或用户定义情境进行日常压力测试;
管理市场风险资本充足率,以做出内部报告和监管报告。
XXXX?企业市场风险管理系统——功能一览
投资组合层级
层级定义
灵活的层级创建功能,以反应报告的组织结构。
层级使用
通过层级节点进行结果汇总;
提供多个层级选择,从而提高报告的灵活性;
提供截止日期报告的投资组合层级的版本控制。
风险价值
情境生成
市场数据的历史数据库;
从历史数据中生成情境;
采用蒙特卡罗法来生成情境;
但如外部生成的情境;
灵活选择期限(horizon,比如1天、10天)和考察期(observations,比如1年、2年);
通过风险因素来选择情境转移,比如部分、相对、绝对;
多重情境设置,例如1天和10天的情境;
情境设置定期更新,例如每日、每周或每月更新。
仿真
选择定价模型;
选择市场数据集,例如独立于前台的中台;
进行仿真以输出完整的盈亏矢量(PL vectors);
在投资组合级别和头寸/交易级别存储盈亏矢量;
可以通过大规模计算机网络来进行仿真分配。
结果
按货币、产品、帐簿、策略、日期来查阅风险价值结果一览;
按风险类别来划分风险价值结果,比如外汇、费率、信贷、股票、商品;
可以更改置信度、期限与考察期;
风险价值的直方图显示;
风险价值钻取式访问、直到头寸/交易结果为止;
确定导致风险价值情境亏损的风险因素;
边际风险价值与增量风险价值计算。
风险因素敏感度
标准敏感度指标
买权敏感度(Delta)、正股权价格敏感度(Gamma)、引伸波幅敏感度(Vega)、时间价值敏感度(Theta)等等;
按货币、产品、帐簿、策略来归类的一览查阅;
对头寸/交易级别结果的钻取式访问;
每个营业日正式成交结果的历史数据。
压力测试
历史压力测试
从市场数据历史记录中生成;
多重压力测试及最坏情况亏损计算;
对头寸/交易结果的钻取式访问;
按风险因素来查找原因。
用户定义压力测试
定义市场数据移位操作的规则;
用于计算风险度量结果的公式。
回溯测试
假设盈亏
无动作盈亏(No-Action P&L),仅因市场数据而引起;
按风险因素来查找盈亏原因。
实际盈亏
附有盈亏解释,例如新增交易、市场数据更改、Theta风险。
回溯测试报告
对某一期限内风险价值与盈亏数字的日常查阅,例如60天、100天或250天;
带有风险价值和盈亏数字的回溯测试图;
对异常结果的钻取式访问。
资本
市场风险资本
监管资本或经济资本;
风险资产。 原件下载: |