Market Risk Engine MRE.

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Presentation transcript:

Market Risk Engine MRE

1. Introduction: Our Market Risk application has a comprehensive set of built-in risk calculations. Given a basic set of data it can compute various risk metrics in real-time. The application can be interfaced with OMS or the central database to obtain the necessary data, or it can be provided with data feeds. The application requires Positions, Securities, Issuers, Countries, and Currencies data from the internal systems. And Market Data such as Government bonds, Inflation index, Inflation Expectations, LIBOR, Credit Spreads, Prices, Indices, Retail Price Index (RPI), Exchange Rates, Interest Rates, Swap Rates, Future Rates for its Market Risk calculations. eurisco solutions ltd. Market Risk Engine

2. Pricing Models and Value-at-Risk: The application has a built-in Black-Scholes Options pricing model and a Swap pricing model. The Market Risk product has various Value-at-Risk (VaR) calculations built-in such as: Analytical Parametric Historic Monte-Carlo It can calculate VaR at various Confidence Levels such as: 99.5% 98% 95% 16% 10% 5% The application can also perform: Principal Component Analysis (PCA) Singular Value Decomposition (SVD) eurisco solutions ltd. Market Risk Engine

3. Market Risk Metrics: The Market Risk Engine can compute: Greeks Sensitivities Volatilities Ratios such as Sterling, Sharpe, Treynor, Calmar and Sortino Information Ratio Convexity Duration (Macaulay, Modified, Key Rate, Effective) Present Value (PV) Dollar Value (DV) DV01, PV01, CR01, INF01 Future Value Expected Tail Loss (ETL) at various confidence levels Expected Tail Return (ETR) at various confidence levels eurisco solutions ltd. Market Risk Engine

4. Market Risk Engine (MRE): eurisco solutions ltd. Market Risk Engine

5. Performance Metrics: The application can also show: Variance Covariance R² Alpha Beta Tracking Error Drawdown Downside, Upside Kurtosis Skewness Correlation Coefficient Cumulative Distribution Function (CDF) Normal Distribution Function (NDF) Probability Density Function (PDF) Standard Deviation Best Period, Worst Period Inverse eurisco solutions ltd. Market Risk Engine

6. Other Algorithms : Some of the other algorithms available are: Mean Median Percentile Rank Discount Factor Determinant Eigen Vectors Eigen Values Polynomial Roots eurisco solutions ltd. Market Risk Engine

7. Interfaces: There are various ways in which this application may be interfaced with in-house systems. Although direct access to the central database is preferred, data can also be supplied via data feeds. If the data feed option is taken then message formats such as csv, fixed, xml and FIX are available over ftp, sftp, ftps or http. eurisco solutions ltd. Market Risk Engine

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