Sector / All
Valuation, measurement, control and management of financial risk
- Valuation, fair value and exposition
- Wide product catalogue: bonds(fixed, floating, callables, putables, hybrids…), deposits, repurchase agreements, cash, loans, stocks, mutual funds, etfs, indices, futures, options, currencies, forex, swaps, OTC derivatives, real estate..
- Toolbox to generate structured and multi risk financial instruments.
- Mark-to-model valuation and bonds, options and swaps calculator.
- Portfolio measures: market IRR, purchase IRR, average spread, average rating, etc.
- Multidimensional views: exposure, concentration and risk measures aggregate into different, single and combined, levels (asset type, currency, country, issuer, others…) .
- Exposure analysis to different sources of risk and underlying sources.
- Hedge and leverage portfolio analysis
- Term cash-flow mappings.
- Look through analysis: break-down for subportfolios, mutual funds, funds of funds, etf’s, sicav’s, benchmarks….
- Portfolio exposure and risk analysis against a benchmark.
- Market, credit and liquidity risks measurement
- Sensibilities: 1º and 2º order.
- Disaggregate and aggregate probabilistic measures: Parametric and Historical VaR, Tracking Error (also parametric and historical), Component VaR, Tail VaR.
- Individual contribution to the total risk under dynamic aggregation criteria.
- Personalization of market and credit risk matrices: model, sample, segmentation, vertices.
- Valuation of counterparty risk: Creditmetrics, CVA.
- Illiquidity rankings and market depth tests.
- Exposition, concentration and risk limits control. Personalization and verification processes.
- Portfolio statistics and performance ratios.
- Stress test and simulation
- What if analysis…?: Design of complete scenarios: historical or hypothetical. Interest rates movements (parallel or non parallel), credit spreads, rating(downgrades/upgrades), currency, implicit volatility, risk matrix….
- Forced selling scenarios in different time horizons in order to quantify losses for illiquidity.
- Personalization and automatization of scenarios, one factor, multifactor
- Risk control
- Commercial, regulatory compliance and internal control reports.
- Personalization and automatic reports generation