Category: Risk Technology
Apps4Fin is an online store for a range of downloadable risk management and accounting applications that are delivered with a set of sample reports and data. All analytical models within the apps are customisable. The company has also enhanced the treatment of embedded options within its banking book products, allowing optional agreements in corporate loans to be separated from host contracts and evaluated independently using a set of evaluation modules it plans to make available on Apps4Fin. The company has also integrated the QlikView in-memory business intelligence and dashboard tool with its product suite.
Version 4.0 of the Cognity risk management and portfolio construction platform includes fat-tailed ‘what-if' scenario analysis for tail-loss and tail-return comparisons when adding and removing positions or adjusting allocations. The caching of previously-run scenarios enables users to quickly analyse the impact of potential changes simultaneously across multiple scenarios. Meanwhile, a tempered stable distribution model measures tail risk over both short- and long-term horizons using a single model. The reporting framework now features right tail analytics, and factor contribution to risk reporting includes non-linear factor contribution to expected tail-loss statistics.
Additions to the company's integrated finance, risk and performance system, Financial Studio, include a counterparty credit risk and CVA modelling module that incorporates stress testing and scenario analytics for Basel III compliance, a module to explain P&L sensitivities, and a user interface for the trading ledger that allows monitoring of intra-day P&L figures and balance sheets. Other enhancements include measurement of liquidity premium for gap and contingency funding risk in the funds transfer pricing module, a Basel III liquidity risk management module, and extensions to the Basel II market risk and securitisation frameworks.
The company has added an order management system to its Spectrum front- to back-office product suite that supports foreign exchange spot, OTC options and forwards, equities and bonds. Other enhancements include automated sell-side execution, a trader execution portal, integration with Murex pricing models, and support for Mexican bonds, money markets and regulatory accounts. Support has also been added for contracts for difference and foreign exchange spread trading, including financing fees and back-office processing. Next year, the firm plans to add portfolio concentration limits, support for equity-linked notes and mobile device apps.
Users can now access the F3 derivatives analytics platform through Excel, MatLab, or as a development kit. Recent enhancements include variance and inflation swap functionality, collateralised CVA, Monte Carlo value-at-risk, and P&L and performance attribution, where users can view exposures and valuation components in isolation or aggregated. Hybrid modelling supports range accruals, power reverse dual credit notes and other complex instruments. For insurance, there is now support for variable annuities and constant proportion portfolio insurance products. F3 uses multi-threading, multiple processes and grid computing to achieve high performance for functions such as Monte Carlo simulation, the company says.
Finsbury Solutions provides a spreadsheet control methodology and a spreadsheet management system. Spreadsheet Workbench allows insurers to create a risk-assessed inventory of business-critical spreadsheets, and identify linked spreadsheets and other data dependencies. Spreadsheets can be assessed for accuracy, completeness and appropriateness, while change management and approval workflows can be automated and a spreadsheet control framework appropriate for Solvency II delivered.
Features added to the Delta Flow liquidity, flow and risk management application include broker real-time price administration, credit management and business intelligence analysis. The Delta Stream tick data capture and complex event processing (CEP) application now includes pre- and post-trade analytics and dashboards. The Delta Risk compliance and risk management application includes modelling reports for market and credit risk Monte Carlo simulations, historical simulations, and scenario, spectrum, basis spectrum and horizon analysis. Delta Algo is a low-latency platform for data capture and high-performance CEP. Delta Data Factory is a service bureau and managed service for reference data.
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.
GGY's Axis is an actuarial system for life, fixed and variable annuity, and health products. It supports seriatim valuation, pricing, product development and financial projection, and integrates ALM, dynamic hedging and advanced stochastic capabilities suitable for economic capital and Solvency II applications. Axis allows companies to address economic risk and accurately reflect financial reporting impacts under multiple frameworks simultaneously. Centralised model management and control is offered through the EnterpriseLink Module.
Version 8.3.1 of the EDM data management product suite consolidates disparate data feeds and provides increased functionality for independent price verification and scrubbing. Workflow and validation tools have been enhanced to link product, customer, counterparty, position and transaction data for a firm-wide view of risk, the company claims. Meanwhile, GoldenSource for Derivatives provides a single, centralised repository of information for derivatives reference and counterparty data. Users can map to legal product definitions for reference to confirmation, netting and collateral contracts. Another tool - RiskHub - is a comprehensive package to centralise and quality-check all risk-related data.