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Risk management system using Value at RiskT approach
With the fast paced growth of the Banking and Financial Services sector the need to identify, assess and monitor all forms of risk (i.e. market, credit, operational, liquidity etc) has become increasingly important as financial products take on a more diverse and complex character.
VARXPress is a market risk management system, which helps assessing the uncertainty of future earnings due to typical changes in market conditions. More specifically, VARXPRESS enables a fund manager to quantify the potential loss that a portfolio could incur over a specific holding period with a given likelihood of occurrences/scenarios. This provides the Treasury Management function with a powerful tool in optimizing trading strategies and selecting the best risk/return profile.
Value at Risk T (VaR), a probability based risk measure, relates the amount of loss to the probability of occurrence. It estimates statistically the market risk of a portfolio in terms of risk exposures (Spot Positions and PV01s), historical volatilities and correlation of rate changes between market risk benchmarks. VaR quantifies a portfolio's potential loss exposure due to adverse market movements, over a given risk horizon, with a predetermined degree of confidence.
Other key features at a glance
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Interfaces 