Modules
Modules
It is increasingly necessary and critical for entities, to integrate and align the different visions and projections made by Balance Management solutions, for which it is essential to have collaborative solutions.
- Different views integration
- Reduction of operational risk
- Coexistence of multiple users
- Multi-entity vision at various levels
Maximum flexibility
Market risk// VAR - Management
SzenaRisk VaR computes VaR metrics for different time frames, which users can configure based on various simulation methods. The results incorporate all the necessary information to identify the operations that pose the highest risk for the entity.
- Calculation of metrics: VaR, marginal VaR, incremental VaR, expected Shortfall
- Sensitivity metrics calculation: duration, modified duration, convexity, Greeks
- Valuation of individual metrics by operation
- Simulation methods with parameterizable horizons and number of simulations: historical, parametric, Monte Carlo
- VaR validation through customizable Backtesting
Total customization
CVA Module// Counterparty Risk
Valuation adjustments currently are one of the risk management pillars of trading activities. SzenaRisk, with its calculation and monitoring of the different xVA metrics, fulfills all regulatory obligations and follows best practices in the monitoring of counterparty risk (i.e. CVA, DVA).
SzenaRisk CVA covers a wide range of risk metrics using xVA valuation adjustments that allow a better monitoring of your positions globally.
- Calculation of CVA and DVA
- Collateral management and nettings
- Impact on the metrics of new operations
- Support to choose the best counterparty to operate
- Exportable and traceable results report
Individual and consolidated vision
Capital Module - IRC
SzenaRisk IRC helps companies to comply with the latest regulation of the regulatory capital calculation for Incremental Risk Charge (IRC). Its versatility places this model in a valuable risk management tool that features great simulation capacity and allows users to set up scenarios based on the complex dynamics underlying the risk of default.
- Regulatory capital calculation for Incremental Risk Charge (IRC)
- Analysis tool for the complex dynamics (e.g. probabilities and correlations) underlying the risk of default.
- Multiple stress scenario configurations
- Input error control
Total customization
Hedge Accounting Module
SzenaRisk Hedge Accounting meets customer needs in terms of hedge efficiency calculations through the generation of multiple scenarios and an entity-specific customizable level of aggregation.
- Prospective, retrospective and regressive tests
- Establishment of an N to N relationship between debt and hedge derivatives
- Effectiveness ratios and configurable pricers
- Report customization and exploitation according to user needs
- Results can be exported daily and imported into SAP