PMS Modules

The PMS Modules represent a set of modules that are integrated into the German Portfolio and Risk Management System (PMS) of our partner Much-Net AG, Bonn, Germany. These modules include instruments and pricing models, analysis, simulations and Basel III and Solvency II regulatory suites. Eurorisk Systems has been involved in the conception, development and maintenance of the PMS modules for over 20 years. The main areas, covered by the PMS modules, are the following:

  • Calculation of financial instruments - loans, credit derivatives (such as CDS, CLN, and CDO (ABS) on single names, on spreads, on indices and on baskets).
  • Financial calculators - margin calculator, spread risk calculator, spread analyser, liquidity calculator.
  • Monte Carlo simulation for market risk, including marginal, incremental and expected shortfall risk.
  • Credit risk of assets and issuers using CreditMetrics™ and CreditRisk+™ approaches.
  • International Accounting Standards (IFRS 9) - balance and hedge accounting.
  • Interest Rate Risk in the Banking Book (IRRBB) based on interest rate scenarios.
  • Basel III capital requirements for credit and operational risk.
  • Solvency II capital requirements for market risk.
  • ALM Analysis - FTP, refinancing and reinvestment, replication portfolios, opportunity calculator, treasury results.
  • Neural network modules - clustering, analysis of time series, assessment of implied rating, estimation of non-normal distributions.

More than 80 customers from all over Europe (such as Germany, Austria, Luxembourg, UK, Slovenia, Slovakia, etc.) have already integrated the PMS modules into their systems.