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Market Risk Management via Full Monte Carlo

Mark to Market (MTM), and Position Reporting
VaR and Option VaR
Expected Shortfall (ES)
Stress Testing and What-if-Scenarios VaR
BCBS 352, FRTB compliant


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One Single Universal Market Risk Platform

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    Multi-trading: power, energy, commodity, banking, buy-side, asset, wealth and investment, hedge funds, insurance, treasury, corporate finance.
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    Multi-asset class: electricity, energy and commodity (physical and financial), fixed income, interest rates, money market, repos, debts, deposits, FX, mutual funds, stocks, indices.
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    Stay ahead of regulatory and internal risk valuation and reporting requirements within one single risk platform.
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    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.

Key Functions

MTM, P&L and Positions
MTM, P&L and Positions
Reporting. Short and long legs. What-if-scenario and stress testing. Greeks for options. Sensitivity.
Full Monte Carlo VaR
Full Monte Carlo VaR  
VaR and Expected Shortfall (ES). Backtesting. Multi-currency conversion. Sensitivity analysis. BASEL III and BCBS 352 compliance. CVA VaR.
ALM Risk
ALM Risk  
ALM, MTM and VaR by interest rate, price and yield. Multi-currency conversion. (Modified-) duration. DV01/PV01. Sensitivity analysis.
Stress Testing and Scenarios
Stress Testing & Scenarios
Shifts and shocks on all rate and price curves. Method: full Monte Carlo re-evaluation. Liquidity and credit risk valuation adjustments.
Marginal Risk
Marginal Risk
MTM, P&L and VaR are computed by books, portfolios, asset classes, trading hubs or market prices. Drill up & down to deal level.
More Features
More Features
Risk dashboard. Monte Carlo simulation configuration. Risk Statistics & visualization. Marginal & incremental risk.

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