Forecast. Market risk

Software package "FORECAST. Market risk" will help to automate and to considerably lower temporary both labor costs on the analysis and control of market risk of portfolios of financial instruments of bank.

Tasks

• consolidation of information necessary for risk management, in the data warehouse, loading and processing of market data (Bloomberg, MICEX, RTS, Cbonds, the Bank of Russia) (including maintaining payment schedules on tools with storage of dates of the declaration of events of the calendar);
• filtering of emissions and recovery of the passed values in price ranks (Bayesian estimation, the Expectation maximization algorithm, linear interpolation, at the final available price);
• statistical analysis of data, including econometric modeling and calculation of covariation matrixes;
• loading and processing of the register of transactions from the core banking system;
• maintaining portfolios: loading of portfolios and/or calculation of portfolios on the basis of information on transactions;
• assessment of market risk (Value-at-Risk, Shortfall on the basis of parametrical, historical modeling, modeling by the Monte-Carlo method). Models of static and dynamic (EWMA, GARCH) assessment of volatility are supported;
• control of adequacy of the used VaR (backtesting) models;
• aggregation and decomposition of portfolios on different classification signs at the different levels;
• scenario modeling ("What will be if?"), including the stress testing mode;
• assessment of required level of the economic capital for a covering of market risk according to the recommendations of Basel committee (Basel II);
• assessment of market risk according to requirements of the Central Bank of the Russian Federation (form 313-P), reporting for the Central Bank in form 0409153;
• assessment of risk-free zero coupon yield curves on the basis of parametrical and a spline methods;
• assessment of credit spreads on bonds and groups of bonds;
• assessment of an interest rate risk, including assessment of an interest rate risk for obligations with a fixed rate (sensitivity analysis, support of decisions on refinancing) and with a floating rate (Cashflow-at-Risk);
• support of own techniques of risk assessment of bank on the basis of library of algorithms, open for the user (with attraction and without involvement of the developer).