Products

Risk Engine Features

RE displays a set of advanced features:

  • Precise modelling of the market – prices, indices, yields, spreads, scenarios, statistics, yield and credit spread curve bootstrapping, normalisation and interpolation, etc.
  • Precise modelling of investments – cashflow generation, conventions, optionality, etc.
  • Advanced stress testing on all types of factors in groups or per factor basis.
  • Multiple models representing positions:
    • Internal Model – discounted cash flow, rules, data driven or predictive (AI). Its main goal is to represent positions as observed / defined on the tradable market;
    • Delta Model – by definition or derived from internal model. Its main goal is to represent positions with respect to regulatory requirements, e.g. SST;
    • Delta-Gamma Model - by definition or derived from internal models. Its main goal is to represent positions with respect to regulatory requirements, e.g. SST;
    • User-defined by Rules - perfect for modelling and analysis of new contracts in funds, insurance companies, banks, credit institutions, etc. In contrast to the usual excel modelling in Excel, Risk Engine models can undergo risk analysis, stress testing and behaviour analysis that are available in the system;
    • Data driven and predictive Models – engineering position relationships according to the marker, based on known market history. Their main goal is to represent positions with known behavior but unknown expected behavior, e.g. private equity, rights, etc.
  • Advanced risk measurement methods, based on Monte Carlo simulation that are taking into account all details of the contracts. See Fig. 1 in section Swiss Solvency Test in Risk Engine.
  • Designed for integration with other applications, but can also operate alone.
  • High performance:
    • Ad-hoc concurrent calculations;
    • A typical simulation consists of around 1000 positions. Some test cases include 100.000 positions;
    • Horizontal scaling of evaluations.
  • Accessing the system only via the respective API or GUI, which makes the integration easy:
    • Supported APIs – Messaging (JMS), REST, WS-SOAP;
    • Browser or tablet compatible GUI. Uses HTML / CSS / JavaScript only – no applets, flash and alike.
  • High portability due to Java programming languages and Java-based technology packages.
  • Support of large sets of databases: Oracle, MS SQL, DB2, My SQL and others.
  • Full historisation support of all entities.
  • Mobile / desktop browser-based GUI.
  • Flexible multi-window and multi-language GUI.
  • Native service API clients – Java, JavaScript, etc.
  • Flexible configuration and setting of work environment and nomenclatures, such as currencies, cities, countries.
  • Flexible configuration of the system functionality, through licensing of modules, models and features.
  • Multi-entity and multi-user mode, user rights over objects, using role definitions.
  • Batch mode and management of calculation sequences, including time-controlled sequences.
  • External data import via service API or importer module.
  • Flexible reporting - Crystal Reporter, Jasper reports, QlikView, etc.
  • Neural network for clustering of time series and for defining multi-factor instruments.
  • Structured Monte Carlo simulation for market risk internal models.
  • Free attributes in portfolios, instruments and positions.
  • Support of standard transactions for all instrument types.
  • Back testing module for market VaR.
  • Limits, compliance checks and alerts.
  • Notification system: messages, sounds and e-mails.
  • Market data and historical series data, incl. correlation matrix calculation.
  • Parallel calculation and simulation, using available processor cores.
  • Possible distribution of the software to additional machines.
  • Definition of benchmarks, based on indexes and contributions.