Multi-asset class: electricity, energy and commodity (physical and financial), fixed income, interest rates, money market, repos, debts, deposits, FX, mutual funds, stocks, indices.
Stay ahead of regulatory and internal risk valuation and reporting requirements within one single risk platform.
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.
MTM, P&L and Positions
Reporting. Short and long legs. What-if-scenario and stress testing. Greeks for options. Sensitivity.
Full Monte Carlo VaR
VaR and Expected Shortfall (ES). Backtesting. Multi-currency conversion. Sensitivity analysis. BASEL III and BCBS 352 compliance. CVA VaR.
ALM, MTM and VaR by interest rate, price and yield. Multi-currency conversion. (Modified-) duration. DV01/PV01. Sensitivity analysis.
Stress Testing & Scenarios
Shifts and shocks on all rate and price curves. Method: full Monte Carlo re-evaluation. Liquidity and credit risk valuation adjustments.
MTM, P&L and VaR are computed by books, portfolios, asset classes, trading hubs or market prices. Drill up & down to deal level.
Risk dashboard. Monte Carlo simulation configuration. Risk Statistics & visualization. Marginal & incremental risk.