Category: Operational Risk & Regulation
Enhancements to the company's Asset Liability Manager include support for Windows 7, daily and intra-day liquidity analysis, and loan fees held as a separate line item for regulatory reporting. Developments to Vantage Risk and Budgeting Manager include more flexible modelling of interest rate and yield curves, dynamic gap reporting, forecasted economic value, month-over-month trend analysis, dedicated rate sensitivity and lag parameters, and expanded instrument-type coverage. The KRM risk management system will now model insurance products, including liabilities, and includes hedge-performance testing, support for inflation-indexed transactions and transition matrix logic linking rating transitions with spreads.
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