Risk Vision is a highly integrated and functionally advanced risk solution, delivering proven measurement of all areas of exposure and risk and supporting modern portfolio management practices. A uniquely flexible solution, Risk Vision is focused on supporting value management and regulatory compliance within a global financial institution through accurate, real time identification, measurement and control of exposure and capital.
Risk Vision Data
Real time access to accurate, enterprise wide data is the cornerstone of a financial institution’s framework for value management and regulatory compliance. At the heart of Risk Vision is a centralised data architecture; a single extensible and highly robust database providing complete ownership of the all necessary data for risk management.
Data Capture
Risk Vision Data integrates with the commercial operations and trading applications through a single point of entry for trade details, static data, revaluations and user-defined attributes. The open, published, two way Application Programming Interfaces (APIs) are used for data entry from source systems, from Risk Vision screens and for data extraction.
Data Management
Risk Vision Data manages all the data supporting the other Risk Vision components. It addresses the needs of all business lines in a single environment, helping institutions use capital more efficiently and most profitably. Audit and housekeeping are fully supported.
Reporting
Risk Vision Data supports reporting requirements from either the real time operational area of the database or a client-defined “information layer”. The information layer allows for snapshots of operational data to be taken on a user-defined frequency for historical reporting. Standard risk reports can be scheduled to meet the operational requirements of the financial institution and tailored to meet additional regulatory directives.
Risk Vision Exposure
Developed to support efficient global limits for the world’s leading financial institutions, Risk Vision Exposure offers complete management of exposures across the full range of activities and locations. Risk Vision Exposure includes the following features:
- Exposure enquiries
- Limit management
- Excess management
- Diary / workflow management.
Exposure calculation
Exposure calculations are based on; notional, percentage of notional, MtM+Addon and vector based PFE profiles. Exposures can also be calculated by the integrated risk engines, such as Risk Vision Carma for Monte Carlo simulation, or by 3rd party risk engines.
Pre Deal Limit Checking
Gives accurate exposure at deal time – real-time pre-deal check limit check in FO (under 1 second) on market or credit exposures prior to committing new transactions.
Real-Time Control
Flexible and functionally rich, Risk Vision Exposure enables real time control of exposures through limits that advise the users that their operations are either in compliance or violation of the institution’s risk policy. Limits can be set against any risk entity and any exposure can be viewed in real time, with drill-down to trade details and exposure contribution of individual trades.
Limit lifecycles
Limit lifecycles offer user-defined stages and permissible user-defined actions that move a limit from one stage to another.
Risk Vision Carma
Only advanced risk measurement can provide the necessary risk-adjusted information to support the dynamic decisions that a financial institution must make to grow: to invest in business lines that increase profit and grow shareholder value, and divest those business lines which do not. Risk Vision Carma is a high performance, business orientated risk engine, which provides integrated market & credit risk management to support enterprise wide risk analysis. Risk Vision Carma offers the benefit of the following analysis
- Mark to Market
- Greeks
- Sensitivity & Scenario Analysis
- Stress Testing
- Market VaR based on Parametric, Historical Simulation & Monte Carlo Simulation
- Credit Exposure
- Economic Capital
- Credit VaR
Full Monte Carlo
Risk Vision Carma includes a multi-factor joint market and credit Monte Carlo Simulation engine. This incorporates any number of market and credit factors and full correlation of all factors. Economic capital and Credit VaR can include multiple time nodes.
Performance
Risk Vision Carma has been benchmarked as the fastest risk management Monte Carlo simulation engine. It is able to achieve this with no compression of data or compromise in accuracy.
Automatic analysis for exposure against limits
Risk Vision Carma can be used to calculate exposure to be applied against limits and managed by the Risk Vision Exposure engine. When a limit is defined the calculation method is specified as being a Risk Vision Carma analysis definition.
Ad-hoc Risk Vision Carma analysis
Risk Vision Carma’s analyses can be run at anytime. The user selects which analysis they require (Analysis Definition), to which portfolio it will be applied and to which portfolio structure aggregation is required. Using hierarchical aggregation levels the user is able to view any results, grouped, for example by: Trade, Portfolio, Counterparty, Business Unit, Country or User Defined categories.
Trial deals can be entered and analysed along with a selection of existing trades to assess the impact of the addition or removal of trades.
The results from these analyses can be viewed graphically and numerically or exported to external applications such as Excel.
Market Data
The Stochastic Parameter Calculator is provided for the estimation of volatility and correlation from historical time series. It is a highly flexible tool for calculating input parameters for various stochastic models (Geometric Brownian Motion (GBM), Mean-reversion (MR) or Absolute Diffusion Process (ADP)). The Stochastic Parameter Calculator requires historical market data (either from a data provider or internally collected) as input. Outputs from the Stochastic Parameter Calculator form the input parameters for the underlying stochastic models of the various market risk factors in Risk Vision Carma that enables the engine to perform sophisticated Monte Carlo, Enhanced Parametric and Historical VaR or simple MtM calculations as requested.
