WHAT'S DRIVING MARKET RISK SOLUTIONS
Market risk refers to the risk of losses in the bank's trading book due to changes in equity prices, interest rates, credit spreads, foreign-exchange rates,commodity prices, and other indicators whose values are set in a public market. Financial institutions deploy a number of highly sophisticated mathematical and statistical techniques to calculate market risk. Chief among these is value-at-risk (VAR) analysis but most instutions are now in the process of integrating new stress-testing analytics including rRWAscounterparty
IMPLICATIONS FOR MARKET RISK SYSTEMS - MANAGING VS MEASURING MARKET RISK
The theoretical approaches to modeling become concrete in the IT systems that support market risk, and in the output of these systems. Any improvements in market risk modeling must be supported by corresponding changes in risk IT.
Key Features reviewed on diliger:
- Market risk calculations
- Parametric Value at Risk (VaR) calculations
- Variance-Covariance (VaR) calculations
- Conditional Value at Risk (CVaR)
- Entropic value at risk (EVaR)
- Equity Value at Risk (EVE)
- Market risk analysis
- Slice and Dice analytics
- Historical Simulation
- Derivative valuation analytics
- Multi-factor stress testing
- Potential Future Exposure (PFE)
- Scenario analysis
- Sensitivity analysis
- Stress testing
- Factor modelling
- Pre-configured scenario analysis
- Regression analysis to test hedge effectiveness supported ?