Sector / Banks and Corporations
Software to project the balance sheet and the profit-loss account flows.
The stochastic analysis allows projecting multiple scenarios with many intermediate points as mature or repricing flows. This will allow correlation between risk factors, improves the accuracy of the calculations and obtaining a wide distribution of outcomes.
- Complete ALM analysis. At a given date it projects future receipts and payments, whether they are certain or not -floating references for example- or contingent, -such as futures, options, forex, IRS, Swaps, etc.-. Reinvests all intermediate flows to the final date of simulation.
- Distribution of the valuation and P&L calculation on assets, liabilities and the portfolio surplus (assets less liabilities at market prices), budgets, investments projects…
- All the known or simulated intermediate cash flows (floating rate, derivatives, and so on) are calculated for each financial instrument and they are grouped by month.
- Economic Value and net interest income: sensibility analysis.
- Hedge effectiveness testing.
- On line what if, worst case and stress.
- Single and complex trades can be simulated.