
Tech Awards: Fiserv / Kamakura
Stop-loss triggers
Fiserv Risk and Performance Solutions and the Kamakura Corporation have incorporated stop-loss triggers based on counterparty creditworthiness into their joint risk management system.
Stop-loss triggers can be activated on an individual security or at the portfolio level when rating migrations occur, credit spreads change, a relative market value level is breached, or a credit-adjusted market value decreases. The triggers can be activated for both current and future transactions. The innovation is available for both daily profit and loss calculation, and for VAR and stress-testing processes, on a deterministic and stochastic basis.
Stop-loss triggers at the portfolio level can be applied to any exposure that has mark-to market accounting treatment. The stop-loss applies to the security with the greatest mark-to market loss.
Roland Klimesch, head of asset/liability management at RZB Österreich AG, based in Vienna, says: “Fiserv is the only product that integrates different kinds of risk and correlation between market and credit risk. It’s extremely flexible in calibrating and it has a very strong simulation engine.”
Klimesch adds: “There are not actually many other products on the market that offer such big variability in integrated business forecasts. And the others that do exist are not as flexible.”
John Filby, president of risk management solutions at Fiserv, says: “It is important for our clients to implement an integrated solution that incorporates default probabilities and ratings migrations while handling dynamic cashflows. This product will enable them to modify and even liquidate their portfolios quickly.”
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Awards
Lifetime achievement award: Stephen Kealhofer
Risk Awards 2023: KMV co-founder helped usher in a new era of credit risk analysis – at banks and investors
Risk solutions house of the year: BNP Paribas
Risk Awards 2023: Liquidity swaps provided safety net for European utilities at height of energy crisis
Derivatives house of the year: BNP Paribas
Risk Awards 2023: Betting on an equities expansion and rates re-org delivers early win for global markets
OTC trading platform of the year: Tradeweb
Risk Awards 2023: Traders prized the platform’s convenience and flexibility during last year’s market turbulence
Risk Awards 2023: The winners
BNP Paribas takes top derivatives prize, lifetime award for Stephen Kealhofer, Nomura wins rates
Clearing house of the year: LCH
Risk Awards 2023: A member default and a spike in UK rates were handled with aplomb, while cleared volumes rose
Rising star in quantitative finance: Sigurd Emil Rømer
Risk Awards 2023: Doctoral dissertation outlines more efficient way to simulate rough volatility models