RISK

Methodologies used:

  • Parametric.
  • Montecarlo.
  • Historical.
  • Extreme value theory.

The module handles::

  • Stress tests, back test.
  • Credit risk based on VaR methodology.
  • ncremental VaR complement.
  • Optimisation of the VaR showing the Marginal VaR generated by an operation.

The calculation engines are based on FEA libraries (world leader in financial methodology) which have been validated by the BANK OF SPAIN

The risk module can function perfectly well in a context in which the FIT portfolio management system is not An MSCl Barra Company installed. The risk module is defined in order to be able to integrate the portfolios of systems other than FIT via a standard interface based on a syntax which describes each operation.

This module makes it possible to handle the time series for market data necessary for the creation of the volatility matrices and correlations used in the different methods of calculation of Value in Risk.

This module also makes possible the centralised management of official market data of an entity within the general information system for internal calculations (results, risks...).