Banking and Regulatory Risk Management, BASEL III, IFRS 9 Compliance
BCBS 352, FRTB (Fundamental Review of the Trading Book)
BCBS 279, Standardized Approach to Counterparty Credit Risk (SA CCR)
Liquidity Risk, LCR, NSFR
Capital Adequacy, MLH
Full Monte Carlo Expected Shortfall (ES), xVA
IFRS 9 Hedge Accounting
One Single Universal Risk Platform for Regional and Commercial Banks: Robust, Advanced, Intuitive and Cost-Effective
Multi-asset class: energy and commodity (physical and financial), fixed income, interest rates, money market, repos, debts, deposits, FX, mutual funds, stocks, indices.
Stay ahead of BASEL III and other regulatory risk valuation and reporting requirements within one single risk platform.
The key to success in implementing and operating a banking risk system is availability and affordability of resources. With its light next generation architecture QR Risk™ offers robust, advanced, flexible, intuitive and cost-effective solutions that can easily evolve with emerging requirements.
QR Risk™ is seamlessly integrated with QR Trading™ system. Alternatively, you can use your internal trading and transaction repository systems and use QR Risk™ as the enterprise risk server integrating them all. Manage, compute, monitor, mitigate and report risk in real-time.
BCBS 352, FRTB
BCBS 352, Fundamental Review of Trading Book. Full Monte Carlo. VaR to Expected Shortfall (ES). Liquidity & credit adjustment. Standard & Internal Model Approaches.
Principles for Effective Risk Data Aggregation & Reporting. QR Risk™ offers very flexible multi-system integration & risk warehousing for real-time risk reporting.
Standardized Approach to Counterparty Credit Risk (SA CCR) for OTC derivatives. Capital cost of trading.
xVA (valuation adjustment) CVA, DVA, FVA via full joint Monte Carlo simulations on Expected Shortfall (ES).
Custom liquidity indicator index maker, haircut parameters and time horizons. LCR. Cash and liquidity forecasting, stress and risk simulation.
Multiple capital adequacy ratios can be defined for backwards for performance analysis and forward for forecast and risk. MLH.
Hedging risk compliance and reporting. Valuation change to Expected Shortfall (ES) and valuation adjustment.
Risk dashboard. Monte Carlo simulation configuration. Risk Statistics & visualization. Marginal & incremental risk.