Industries



Financial markets

Eurorisk Systems' evaluation and investment decision supporting tools are specialised in the pricing of instruments on the money market, capital market and derivatives market. Traded and OTC instruments can be defined, constructed, and graphically represented as capital and interest cash flows for a future time period. The construction of non-standard complex instruments is enabled using expressions, that are based on a specific language, unifying the price calculation.

Essential features of our pricing models:

  • Obtaining market factors;
  • Calculating implied volatility data for the pricing of options;
  • Building financial instruments and out-roll of future cash flows or pay offs;
  • Calculating prices, returns, and financial risks (VaR);
  • Creating simulations and scenarios of market factors;
  • Forecasting market time series, based on multifactor analysis;
  • Structuring portfolios and aggregating position evaluation results.


Retail and corporate banking

The modules of both Risk Framework and Risk Engine facilitate the management of bank portfolios, retail and corporate banking services (e.g. deposits, loans, accounts, etc.), as well as risk mitigation. We assist banks in using internal and regulatory models (Basel III requirements) to assess the credit standing of private or corporate counterparties. The models for rating estimation, scoring, and loan allowance use balance sheet data, soft factors, country specific factors, and K.O.-criteria, to calculate scores and determine ratings within master rating scales. Solutions for portfolio structuring and asset allocation build the basis for Cash Flow and Interest Income Analysis (GAB Analysis and FTP). Aggregations and scenarios are included in the Asset Liability Management (ALM). The risk management tools support market risk factors (e.g. historical time series, correlation matrixes and volatilities) as well as credit risk factors (e.g. probabilities of default (PDs), migration matrixes from rating agencies, such as Standard & Poor, Moodys or Fitch, seniority classes), including management and assessment of collaterals. In addition to calculating market and credit risk of portfolios and sub portfolios, banks' operational risk regulatory capital requirements can be evaluated using Basel III recommendations - Basic Indicator Approach (BIA), Standardized Approach (STA) and Advanced Measurement Approach (AMA). Most models can work with non-normal distributions.



Capital and property investment

We offer software solutions to support professional traders, investment advisors, or fund managers in their investment consulting activities. The Investment Consulting Module enables:

  • Estimation of investor's risk classes;
  • Creation of investment proposals and real investment portfolios;
  • Optimisation of investment portfolios;
  • Compliance check performance against internal or regulatory rules.

Our Real Estate management tools are designed for small- and midsize individual and institutional investors, enabling:

  • Calculation of a real estate ratings;
  • Economic ratio analysis of properties;
  • Definition of property sales or rental contracts;
  • Definition of bank credits that are used to create property buildings;
  • Other maintenance contracts, including taxes and fees;
  • Definition of portfolios for real estate contracts;
  • Evaluation of real estate portfolios: calculation of value and return, cash flow analysis and interest income analysis of the real estate portfolio.


Insurance industry

Since 2012, the EIOPA advices insurance institutions in the EU to apply Solvency II Capital Requirements that decrease reservations for risk capital, in order to cover for unfavorable movements of market conditions, insurance environments or counterparty debt standings. Solvency II is a fundamental review of the solvency and risk management standards for the European insurance industry, aiming at strengthening the prudential regulation of the insurance sector. Our solutions support insurance institutions in the following directions:

  • Defining and supporting country specific mortality and longevity tables;
  • Constructing a variety of insurance instruments;
  • Evaluating market, default, and life underwriting risk;
  • Calculating solvency capital requirements (SCR and MCR) for the entire insurance portfolio, according to Solvency II./li>
  • Swiss Solvency Test (SST)

Insurance instruments are created in the form of standardised positions in Risk Framework, so hierarchical portfolios of insurance contracts (police) can be constructed and various portfolio analysis performed. The calculation of capital requirements of insurance portfolios is based on regulatory scenarios for Market, Default and Life Underwriting risk, that are evaluated using the pricing models of insurance contracts.



Fund Management

The Fund Management solutions combine software tools and consulting services for portfolio management and reporting, performance measurement and benchmarking, cash flow analysis and forecasting, and include:

  • Definition of the fund objects;
  • Management of investment records;
  • Hierarchical sub-portfolios and asset allocation;
  • Multiple currency support;
  • Complete cash flow management (GAP, FTP, Hedging);
  • Calculation of key figures on sub-portfolio and portfolio level;
  • Crystal Reports, Interactive OLAP Reports, QlikView Reports;
  • Graphing, risk/reward scatter plots, capital gains reporting, user-defined report fields, executive summary reports, invoice reports;
  • Multi-factor analysis:
    • Client management support;
    • Batch printing;
  • Management fees.

Fund managers are provided with software implementations of regulatory and internal models that are developed for the evaluation of different risk types, such as:

  • Market Risk internal models, based on the RiskMetricsTM Methodology;
  • Credit Risk internal models, based on the CreditMetricsTM Methodology;
  • Liquidity Risk;
  • Operational Risk – provisions for Operational Risk regulatory capital, according to Basel III;
  • Simulations and scenarios.

To ensure reliable results for risk and portfolio management, the following organisational and administrative features are supported:

  • Retrieving daily and historical market data (e.g. prices, yields, indexes) via the internet;
  • Management of multiple users with controlled access;
  • Management of investors and shareholders.

In addition, there is the option to integrate client oriented subsystems according to clients' demands. Such subsystems are e.g. notifications (e.g. via E-mail), client reports, alerts for limit violations (e.g. pop-up windows, sounds), as well as compliance checks for specific investment goals.