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High-Performance Monte Carlo Risk Management Solutions

Organize, Slice and Dice Risk Valuation and Reporting as You Wish
Full Monte Carlo Risk Valuation, VaR, Expected Shortfall (ES)
CVA, xVA, Market Risk, Treasury, Cash, Liquidity and Credit Risk
Risk Dashboard, Risk Visualization


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QR Cloud Risk is Ready-to-use

Our cloud supercomputing risk solution is ideal for companies in worldwide markets that need a ready for use risk management solution that is maintained 24/7. We provide data, risk analytics and models, many reports, cloud supercomputing infrastructure, IT and support. You just provide your transactions. All you need is a browser.

Multi-Currency

QR Risk models stochastically and Monte Carlo simulates multiple FX curves. We perform settlement, mark-to-market and risk valuation in the native currency of a deal. You can then switch valuation to any currency you desire on the fly. E.g., you can have an entire portfolio evaluated at the same time in USD and Euro.

Dynamic Portfolio Mapping

Regardless of how your trades and positions are initially captured in your in-house deal capture or position tracking systems, multiple nested portfolios can be created out of the same sets of deals to undergo different risk valuations by filtering the transactions on any common attribute. E.g.:

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    Asset class, trading hubs or markets for market risk (MTM) or VaR.
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    Counterparty for CVaR and credit risk.
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    Operational units and desks for cash and liquidity risk.
    • One Single Universal Risk Platform

      QR Risk is asset class, trading, transaction, risk model, valuation and indicator agnostic. A vast array of models come ready out-of-the-box. If we don’t have what you need as an existing library, our open risk architecture offers unrivaled flexibility to configure the risk valuation rules and models needed to meet your requirements.
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      Multi-trading: electricity, energy, commodity, banking, buy-side, asset, wealth and investment, hedge funds, insurance, treasury, corporate finance. Multi-asset class: energy and commodity (physical and financial), fixed income, interest rates, money market, repos, debts, deposits, FX, mutual funds, stocks, indices.
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      Multiple securities are preconfigured: spot, indices, forwards, futures, swaps, swaptions. OTC trades and derivatives. Vanilla, exotic, basket and path-dependent exchange and OTC options and derivatives. MBS and ABS can be easily configured into the system.
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      QR Analytics are seamlessly integrated and provide calibrated models for forward curves, stochastic models, correlation and Monte Carlo engine. Models are audited, calibrated and executed automatically 24/7. Each analytics model and its parameters are visible and saved for auditing.
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      Define and manage via configuration and without programming any desired risk indicators and valuation rules and adjustments, as complex chains of mathematical formulae attached to various segments of your asset classes and portfolios.

      Custom Aggregation, Marginal and Incremental Valuation

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      QR Risk implements recursive risk valuation. At each nested portfolio level, Monte Carlo simulated portfolio valuations and risk statistics are evaluated marginally and saved, then portfolio valuation is rolled up and aggregated at the next higher portfolio layer, and so on. Users can aggregate, drill up and down risk valuation across any portfolio.
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      Incremental risk valuation is implemented on the fly to measure the impact on a risk indicator in real-time due to adding or removing a transaction.
    • Risk Valuation Parameters

      Users can set key risk valuation parameters for each risk run:
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      Holding time horizon, e.g., 3 days for VaR or a quarter for Liquidity risk.
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      Number of Monte Carlo Simulations.
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      The percentile, e.g., 95%, or risk tails computation.
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      Realized/unrealized valuation, or sum of both.
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      Integrate values forward (increasing risk in time), or backward as positions unwind (decreasing risk).
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      Custom time-bucketing for risk valuation, monthly, quarterly and yearly.

      Risk Statistics

      QR Risk offers comprehensive risk dashboards to display and visualize risk statistics. For every risk indicator, the following statistics are computed on a daily basis at any desired percentile (e.g., 98 percentile), until the end of the time horizon:
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      Tail Gain/best case at a set percentile, e.g., 98%.
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      Expected or Conditional Gain, the average above the Gain Tail. This is the average gain, should gain occurs.
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      Tail Risk or VaR, worst case at a set percentile, e.g., 98%.
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      Mean or expected Value is the average or MTM.
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      Expected Shortfall (ES) or Conditional VaR (CVaR), is the average below the VaR Tail. That is the average loss, should a loss occur.
    • Technology

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      QR Risk methodology is via full Monte Carlo simulation of all instruments. Nonlinear and path dependent instruments undergo very advanced proprietary numerical techniques to lower the dimensionality curse of Monte Carlo. The performance achieved is real-time.
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      QR Risk comes with a proprietary parallel processing supercomputing architecture parsing computational risk jobs at the root level, isolating and preserving all their attributes (such as correlations) in a virtual sandbox and dispatching them across all available CPUs. This is supercomputing on generic off-the-shelf servers allowing to scale up the computational power by simply adding more CPUs.

    Stress Testing & What-if-Scenarios

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      Enter any desired stress or what-if-scenarios in a user-friendly wizard. For example, you can stress market price levels and portfolio positions for haircuts or growths.
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      Multiple stress and what-if scenarios can be maintained for different portfolio filtering and purposes. E.g., one set of stress scenario can be defined for liquidity indicators with different haircut rates per asset class as required by LCR and BASEL III. And a different set of stress scenario can be defined for CVA and counterparty default adjustment valuation.
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      Different scenarios and stresses can be defined for short and long-term portfolio management and planning.
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      Unlike most risk systems, we do not just shock the forward curves and leave volatility and correlations intact. An entire stressed Monte Carlo engine is launched for each new what-if-scenarios.