Financial Instrument coverage

Risk Framework covers the following (financial) instruments::

  • Equities: Shares, Funds, Commodities.
  • Capital instruments:
    • Bonds: straight, floater, inflation;
    • Money markets: bullet, capitalisation, rollover;
    • Loans: annuity, regular (fix, float);
    • Deposits: savings, user-defined;
    • Other: cash accounts, real estate, collateral.
  • Derivatives:
    • Swaps: FX, CC, IR (fix/fix, fix/float, float/float), FRA, FX Outright;
    • Credit Derivate: CDS, CDX, Expected Loss.
  • Modelling and pricing of structured products and exotics through a multi-factor approach:
    • A sub-set of known market factors' (e.g. rates, prices, indexes, etc.) time series is selected.
    • A regression is then used to find a pricing expression for the known factor sub-set.
    • The pricing expression replicates the product’s historical behaviour.
  • 23 standardized instruments used by commercial banks, such as specific loans and deposits.
  • 25 insurance instrument types, including:
    • Whole life / term pension insurance;
    • Whole life pension insurance with guarantee;
    • Whole life pension insurance arithmetic increasing / geometric changing;
    • One-time survival / whole life / term insurance;
    • One-time whole life / term insurance arithmetic increasing / decreasing;
    • Whole life / term pension insurance with return of premium;
    • Free-defined insurance / combined insurance.