Market Risk

A Battle Proven Modular Platform for Pricing, Scenario Analysis, Value at Risk and Expected Shortfall

ARMS market risk module has evolved over time and today includes a wide range of models such as delta, delta-gamma, historic simulation, and Monte Carlo simulation Value-at-Risk and Expected Shortfall risk.

A comprehensive and automated scenario- and sensitivity engine complements the backward looking risk measures. Limits can be set to monitor both static and dynamic scenarios to quickly identify non-performing positions or portfolios.

For quality assurance and regulatory reporting, backtesting is integrated in the market risk platform. A couple of different backtesting schemes can be deployed in to test various aspects of a market risk model.

Pricing and risk can be run in realtime using popular real-time feeds such as Bloomberg or Reuters.