Financial Instrument coverage

Risk Framework covers a large set of financial instruments, that are included in financial and non-financial portfolios in different areas:

  • Equities:
    • Share
    • Fund
    • Commodity
  • Capital instruments:
    • Bonds: straight, floater, inflation
    • Money markets: bullet, capitalization, 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
  • Modeling and pricing of structured products and exotics using the Multi-Factor approach
    • A sub-set of known market factors (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 historic behavior.
  • 23 standard 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