- Regulatory Reporting
- FR Y-14
- Solvency II
- SEC FORM PF
- AIFMD – ESMA ARTICLE 24
- CFTC FORM CPO-PQR
- Risk Management
- Market Risk
- Credit Risk
- Liquidity Risk
- Capital Adequacy
- Basel II-III
- Swap Dealers Capital Computations
Market Risk is related a set of quantitative measures that address market prices and rates changes having a financial impact on business activity results. It also addresses the economic capital required to sustain this business activity through market cycles, along with measures that test the validity of the assumption parameters of the risk measurement methods.
The most common measure of downside risk is Value at Risk, or VaR. It is based on the measurement of a distribution of portfolio value changes using a user defined time series of market data (prices and rates), and portfolio holding period.
RiskMonitor provides an architecture that allows clients to perform many different market risk measures in the form of Risk Versions. This also allows clients to have many simultaneous users performing risk measurement tasks concurrently, on a common set of data.
In addition to providing Regulatory Compliant measures, like Stress, Back Testing and Risk Capital, RiskMonitor also offers additional distinctive measures, such as VaR by Risk Factors and Risk Factor Groups, Benchmark Variance VaR, Alpha, Beta, Correlations and R-Squared.
Changes in data and requirements are implemented in unrivaled speed and control, while AxiomSL’s versioning architecture preserves the old measures and their connection to old parameters and old data.