Asset & Liability Management, Market Risk Analysis

riskpro™ covers value and exposure analysis for all types of methods (fair value, nominal, NPV, observed value, amortized cost, various discounting methods, etc), duration, key rate duration, sensitivity measures, various types of gap analysis, price and volatility shift, and VaR (parametric, historical simulation, Monte Carlo). It can be used as independent solution or in combination with all other riskpro™ methods. An overview of the implemented analysis methods is described below.

Sensitivity Gap

Calculation using any type or grouping of time intervals starting from one day. Static analysis includes marginal, cumulative and residual gap.

Advanced sensitivity GAP

Includes fixing date gaps shows at which dates contracts have to be re-fixed and with what duration.

NPV, duration, convexity, greeks

Covers analysis related to net present value and its sensitivities. In case of options it shows the different greeks (sensitivities).

Price shift analysis

Allows defining and analyzing the effects of price shift scenarios on income and value.

Volatility shift analysis

Allows defining and analyzing the effects of volatility shift scenarios on income and value

Replication portfolio

For the replications of non-maturing financial contracts (e.g. saving accounts, deposits).

VaR Parametric

Based on the RiskMetrics™ matrix structure.

VaR Monte Carlo

Based on Monte Carlo simulated market prices distribution.

VaR Historical simulation

Based on historical market prices.

VaR Benchmark & decomposition by risk groups

Allows a decomposition by risk categories (interest rates, FX, stocks etc.).

Incremental VaR

Allows the simulation of the impact of planned transactions on the VaR.

Backtesting VaR

For VaR, based on the BIS96 requirements.

Instrument coverage

All above methods are applied consistently for any type of financial product/instruments from deposits to exotic options.

More information about riskpro™ Financial Instruments and Product Coverage.

Special riskpro™ strengths

• Most comprehensive coverage of gap analysis. All types of static (only current portfolio) and dynamic (including planned business) gaps
• Includes very specific methods such as fixing date and contingent gap
• All types of VaR and shock scenario methods
• High precision of the underlying cash flows and sensitivities calculations