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.”
- Asia moves: Natixis sales head moves to Barclays, new banking head for StanChart Singapore, and more
- Functional programming reaches for stardom in finance
- Banks hope final FRTB rules will ease NMRF burden
- Banks use machine learning to ‘augment’ corporate sales
- Buy-siders eye ways to get ahead of US resolution stay rules