Market Risk

Market Risk application developed by Risk Software Technologies, is the most widely used risk management software in Turkey, which offers accurate Value at Risk (VaR) estimations and provides the best solution for your market risk management needs. Our market risk solution supports different VaR methodologies depending on the customer’s risk capital and offers an easy to use tool to calculate your reserve figures. The Market Risk Module, optimizes the risk factors that affect your portfolio such as interest and FX rates, stocks, futures and commodity prices using advanced volatility models, thus allowing for better measurement and management of your risks.
Apart from advanced risk measurement methods, using such additional analyses such as stress test scenarios, simulation models, marginal risk contribution, sensitivity analysis, you can assess your risks thoroughly and spot the factors that increase the riskiness of your portfolio.
flexible data structure allows for both aggregate and individual risk calculations. Furthermore, our software offers full aggregation of new derivative products, foreign markets and new business branches.

Features:

  • Internationally recognized methodology
  • +Compatible with BIS and BDDK regulations
  • +Risk adjusted commercial income calculation
  • +On sight support and local market experience
  • +Web Based structure
  • +Wide product support
  • +Advanced volatility, correlation and yield curve modeling
  • +Detailed portfolio screens and sub-portfolio support
  • +Parametric and Non-Parametric VaR
  • +Advanced graphics and reporting engine
  • +Marginal VaR
  • +Incremental VaR
  • +Duration and Cash Flow analysis
  • +What if and sensitivity analysis
  • +VaR drilldowns based on different maturities, currencies and portfolios
  • +Back-Testing and complimentary statistics

 

Advanced Value at Risk (VaR) Estimations

The Riskturk Market Risk application revolves around VaR calculations based on different portfolio and maturity combinations. VaR risk is defined as the return distribution of an instrument or a portfolio given a period and tolerance level. Our software offers three different methods for VaR calculations: Variance-Covariance, Monte Carlo Historical Simulations.

        Nonparametric VaR Modeling

  • Monte-Carlo Simulations: Risk factors are simulated through different stochastic processes.
  • Historical Simulation: This non-parametric method is used in simulating income distributions

        Parametric VaR

  • VaR calculations depend on the correlation between risk factor volatilities. Unlike the normal distribution, financial asset returns show leptokurtic characteristics. Therefore our software offers different kurtosis adjustments to estimated VaR values.

 

Stress Tests and Sensitivity Analysis
 

Back-Testing

 

Instrument Level Drill-Downs:

In addition to aggregate VaR calculations, our software has the ability to calculate VaRs based on sub-portfolios such as instrument type, currency and trader. Marginal VaR tables are constructed based on these separate sub-portfolios to be used in scenario analysis.
With the RePortal function, VaR results are reported easily in a format compatible with the bank’s internal reporting format.

 

Effective Volatility Modeling

Users may calculate the volatility of each risk factor using MA, EWMA, GARCH,GARCH-T,GJRT and TARCH methods.

 

Yield Curve Modeling

The Market Risk Module offers the ability to choose a yield curve for calculations. Methods to derive a yield curve presented are, OLS, Nelson-Siegel, Bootstrapping and Smoothed Bootstrap.

 

Market Risk Portfolio Management Add-On:

Although the Market Risk application satisfies the needs of risk management departments of banks, methods relying on absolute measures may not be sufficient for portfolio management companies that function based on relative performance. Thus our Market Risk Module is expanded to better suit the needs of portfolio management companies with following additional features:have the ability to define shocks on different risk factors and apply them to their portfolios. The purpose of this is to observe how the present value changes in response to different shocks under stress scenarios.

  • Improved Pricing Tool
  • Relative VaR
  • Benchmark VaR
  • Performance Attribution and Analysis
  • Risk Attribution
  • Dynamic Benchmark  

           The basic Market Risk software offers the most economic solution, but it is fully customizable for different customers with different needs.