Risk Framework is a software application platform, written in C++, that runs flexible model scripts in a very high-level rule-based language (Clips) of the artificial intelligence. RFW supports, in one or several model sessions, lists of basis objects, such as customers, portfolios, instruments, scenarios, real estate, nomenclatures, settings and market data. Model sessions contain primary information for the definition of the system functionality and competence. This is ensured by the description of the GUI, the business logic rules and the database structure in a highly flexible manner. Selected modules and their models create sub-applications in desired areas. For example, models for credit risk, rating, collateral management and COREP-reporting support the Basel III credit risk sub-application. RFW is highly extendable, enabling the adding or extending of models, and thus ensuring a rapid development and adaptation of user requirements, in unlimited application areas and their combinations. RFW accesses data using independent layers to data base management systems, connectors and imports/exports, enabling an easy integration into existing systems.

Module List Functionality
1 System Models
  • Catalog of instruments, positions, filters, portfolios, scenarios, etc.
  • Register of finance centers, users, roles
  • Settings, currencies, countries, cities, markets, financial calendar
2 Administrative models
  • Management of sessions, batches, reporting
  • Management of OLAP & QlikView Cubes, templates
  • Logging, Auditing, Warnings
3 Portfolio Management
  • Portfolio definition using lists, filters, static and dynamic structures
  • Definition of dynamic asset allocation, analytical periods
  • Portfolio optimization
4 Market Data and Scenarios
  • FX rates, curves and spreads, prices, indexes, volatility, scenarios
  • Management of historic time series, Performance calculation
  • Market and liquidity scenarios
5 ALM Instruments, ALM Analysis
  • Single position, instrument and attributes definition
  • Portfolio evaluation and aggregation: PV, figures, CVA/DVA, Key rate
  • Cash flow analysis (GAP) and aggregation
  • Interest income analysis including FTP
6 Market Risk Basel III, internal models
  • Basel II Market Risk: Regulatory models
  • Market Risk (RiskMetrics VaR by Monte Carlo Simulation)
  • Clustering, Correlation matrix and volatility, Market factor distribution
7 Operational Risk Basel III
  • Basic Indicator Approach (BIA), Standardized approach (STA)
  • Advanced Measurement Approach (AMA) and Consolidation
  • Loss event data entry and loss data base
  • Self assessment questionnaires about Basel III categories
8 Credit Risk Basel III, internal models
  • Rating agencies, Migration matrix, Recovery rates and LGD
  • Branch index volatility and correlation, Rating spreads
  • Credit risk attributes to Instrument or Issuer
  • Credit VaR Monte Carlo simulation (CreditMetrics)
  • Management of collaterals and guaranties, Margin calculation
  • Regulatory capital requirements
9 Solvency II
  • Insurance instruments (25 Types) and Attributes
  • Mortality tables and scenarios, Settings for Solvency II
  • Capital requirements (Market, Default, Life Underwriting risk)
  • Private Rating
  • Corporate Rating
  • Retail Scoring
  • Rating for retail and corporate customers
  • Balance sheets for corporate customers
  • Quality Assessment Collateral, Credit Application Rating
11 Limit and Notification
  • Management of Limits, Compliances and Alerts
  • Management of Notification Events: Messages, SMS, Mails
12 Framework Applications
  • Management of Real Estate Properties and Funds
  • Investment Consulting
  • Asset Based Funding Application

The usage of models provides the means for an easy and flexible customization (changing) or functionality enhancement by modifying or adding new model scripts. Risk Framework establishes a platform for development of software applications based on a modern paradigm of Object Oriented Programming, Artificial Intelligence, Neural Networks, Statistic and Simulation.

Risk Framework covers a large set of financial instruments that enable the representation and evaluation of financial and non-financial portfolios in different application areas.

An important approach of Risk Framework is to first start with a non-financial application (for example, real estate property application) and then switch to financial instruments and portfolios, where the full power of the financial analysis modules can be used (for example, return, risk and scenario simulation).

Short overview of Risk Framework's functionalities in Bulgarian