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New Generation Balance Management Solution
The truly flexible, user-oriented Pricing & Active and Counterparty Risk management solution
The design of SzenaRisk makes it a competitive market and counterparty risk management solution compared to a classic comprehensive solution.
Pricing
Valuation of a wide range of products. Scalable in an agile and simple way.
Counterparty Risk
Exposure calculation, CVA and DVA, Collateral contract modeling for exposures.
Market Risk
Sensitivity calculation, incremental and marginal VaR, ad-hoc scenarios and stress testing.
Migration Risk & IRC
Regulatory capital calculation by Incremental Risk Charge (IRC). Analysis tool for the complex dynamics (e.g. probabilities and correlations) that underlie the risk of default.
Capabilities
SzenaRisk provides an array of powerful capabilities: an efficient data management service and a central engine that allows the valuation of any product. Simulations can be based on any metric or business sceanrios and can be carried out in a simple and effiecient manner.
Strong and scalable Data Management Module
Simulation Engine
Financial products valuation
Aggregations
Differential factors
The SzenaRisk engine works with all types of financial tools and is designed to keep calculation times down in the generation and management of valuations and metrics.
Global Flexibility
Szena its a highly flexible and adaptable tool to different customer and needs, that guarantees a time- and cost-effective implementation process and is designed for quick system configuration.
Flex functionality
- Quick incorporation of additional calculations and metrics.
- Multiple features for a low price with very few variations
- Adapted to peculiarities of the LatAm market.
Optional functionalities:
FVA, Regulatory Calculations (FRTB, SA-CCR), Initial Margin (SIMM), Wrong way risk
Flex Implementation and Integration
- Distribution of models as plugins
- Quick system configuration
- Validation, transformation, traceability and consistency of data
- Scalable and robust data repository
Benefits:
- Easily integrable into the Entity’s ecosystem of solutions, avoiding dependencies.
- Initial implementation and subsequent changes executed in short periods of time.
Flex operation and maintenance
- Generation of reports in an accessible, manageable and configurable format
- Ability to export results and parameters
- Transparent version maintenance and deployment
Benefits:
- Highly configurable to cover the largest volume of adaptations and reporting requirements
- Adaptation to any need in a cost-efficient manner
Flex in the face of unexpected events
The COVID-19 crisis has unveiled unknown flaws in risk models.
Features:
- Reaction speed in updates
- Quick addition of new input data such as scores, ratings and probabilities of default
- Early Warning Systems
Benefits:
- Quick adaptability
- SzenaRisk allows you to adjust data and methodologies that reflect the new normal.
Multi - model
Normal, lognormal, historical and Monte Carlo simulation, Full revaluation, PCA
Multi - user
Independent unit management. Configuration of different roles and profiles.
Multi - entity
Management of multiple work units with their own data.
Modular Coverage
The ever-evolving solution that covers a wide vary of needs: VaR / ES, Hedge Accounting, IRC, CVA-xVA
Architecture
SzenaRisk is an optimized classic solution with Cloud and Big Data capabilities. Apart from providing users with agility, processing capacity, scaling and automation capabilities and unlimited storage, it is also easily integrable with other systems of the entity or with other Nfq solutions.
- Local or remote connection
- Parallelization multiprocessor
- Relational database based on both a traditional and cloud architecture
- Compatible with the most common software and operating systems
- Compatible with a wide range of cloud services
- Hedge Accounting: Calculation of the efficiency test of accounting hedges in accordance with the IFRS 9 requirements
- Loan Pricing: Pre-trade valuation of global lending operations
- ALM: regulatory and management requirements for IRRBB, Liquidity, FTP and Financial Planning
- Performance: performance metrics for pricing and profitability analysis (RORAC)
Integration with other Nfq solutions
SzenaRisk is easily integrable with other Nfq financial solutions, which provides entities with agile and flexible risk hedge calculation and balance sheet management capabilities.
