Commercial, global, investment banks, treasury and finance departments.

• QuantRisk ALM & Treasury Risk Management System allows users to define and customize on the fly any desired portfolio structure to model the balance sheet of their operations, Assets, Liabilities and Capital.
• Each segment of the Asset and Liability portfolios can be assigned its own valuation rule, via a wizard driven cash flow mapping tool. You can thus configure valuation rules for deposits, loans, mortgages, MBS, ABS, bonds, FX, swaps and more within minutes and start various portfolio valuation runs. More...
• Configure the income statement display of each valuation ledger by regrouping rows, adding subtotals, importing other valuation curves, etc to match your financial reporting requirements.
• Data flows as a continuous process through the systems. Performance analysis is done on valuation ledgers and cash flow analysis using historic data. These merge into forecasted risk and cash flow computations into the future using Monte Carlo simulations.
• The multiple currency evaluation engine allows portfolios valuation to be performed in any desired currency, regardless of the original currency of the transactions.

Monte Carlo Simulation of Cash Flow at Risk
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QuantRisk ALM & Treasury Risk Management System allows users to define and customize on the fly any internal and regulatory required risk indicator:

• User friendly cash flow mapping wizards allow clients to define any desired stress testing or haircut rules in terms of shifting base interest rates and price curves, as well as portfolio aggregate value. These can then be combined into stressed scenarios for various risk valuations such as MTM, earnings, exposure, liquidity, capital adequacy or any user defined risk indicators. More...
• User friendly cash flow mapping wizards allow users to define any desired valuation or risk indicators, such as Cash Flow, Value or Mark to Market, Counterparty Exposure, or any Liquidity and Capital Adequacy regulatory indicators such as in Dodd Frank or Basel III. More...
• Results can be displayed along several dimensions: by portfolio layers (within Asset and Liabilities) across time or by time bucket (monthly, quarterly, yearly) across portfolio layers.
• Portfolio stress testing valuation is combined with Monte Carlo simulation to generate a full distribution of possible outcomes, from which risk statistics are computed at a desired percentile. The integrated portfolio analysis dashboard allows users to see in one glance and in one panel, various values for a selected risk indicator, across all stress scenarios.

Portfolio Cash Flow under Stress Testing
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QR Analytics Server offers extensive capabilities to model and forecast any price or volume curves on multiple time scales.

• Extensive curve and data management capabilities, with user defined index modeling and formula entering capabilities.
• Stochastic Modeling with a menu of 1 and 2 factor models with full calibration or parameter estimation and visual backtesting routines, on user provided data sets.
• Full Monte Carlo simulation of 1 and 2 factor models for price and volume curves.

QR Risk System Offers comprehensive risk management solutions, down to real-time risk valuation and monitoring.

• Standard Risk Indicators are computed on user defined portfolios: Mark to Market, Value at Risk (VaR), Cash Flow and Earnings at Risk, Exposure and Credit Risk.
• Users can also define any desired regulatory indicator such as Liquidity or Capital Adequacy using a cash flow mapping tool. These are then seamlessly passed to the Monte Carlo engine for risk valuation.

Series of requirements by the US Financial Accounting Standards Board (FASB), known by now as FASB hedge reporting, have prompted the use of hedge accounting and fair value valuation of hedges, mainly futures, options and derivatives, not only in the US but in many jurisdictions across the world.

Requirements by the International Accounting Standards Board (IASB) under IAS 39, and the US Financial Accounting Standards Board (FASB), under FASB SFAS 157 have prompted the use of fair value accounting in financial reporting, not only in the US but in many jurisdictions across the world.

QR Risk System offers comprehensive Fair Value valuation of any portfolio or asset via Monte Carlo Simulation of discounted future cash flow or earnings, deriving current Net Present Value, with a risk band, that is Expect or Mean value, worst and best case values at any set percentile, 95% to 99%. To account for subtleties such as "price paid by a willing buyer", stress factor can be applied when the Monte Carlo simulations runs are executed to derive a series of fair values, under liquidity stressed situations.