Markit Analytics – Market Risk Solution
2
More information For more information on the products and services from Markit, please contact us at [email protected] or call one of our regional offices: London +44 20 7260 2000 New York +1 212 931 4900 Amsterdam +31 20 50 25 800 Boulder +1 303 417 9999 Dallas +1 972 560 4420 Frankfurt +49 69 299 868 100 Hong Kong +852 3478 3948 Tokyo +81 3 6402 0130 Toronto +1 416 777 4485 Singapore +65 6922 4200 Sydney +61 2 8076 1100 markit.com Clients Investment banks Value-at-Risk (VaR) at any confidence level, based on historical and Monte-Carlo Simulations Stress and sensitivities ability to create ad hoc scenarios and stress all the risk factors Incremental Risk Charge (IRC) Comprehensive Risk Measure (CRM)– supports Basel market risk capital charges Flexibility Supports full range simulation and pricing models and offers the ability to customise and create to meet regulatory and business requirements. Implement in batch or real-time mode, support industry-wide drive towards more real-time calculations. Comprehensive coverage Full set of VaR measures, including Marginal VaR, Incremental VaR and VaR attribution. Ability to capture full set of risk factors that underlie exposures. Calculates regulatory Incremental Risk Charge and Comprehensive Risk Measure. Regulatory track record Flexible architecture and advanced analytics that ensure compliance with Basel requirements. Improved workflow Bespoke dashboards enable integration into user workflows. Extendable to other Markit Analytics solutions for enterprise view of risk. Markit Analytics Market Risk Solution provides a VaR calculator and stress testing framework across a broad range of asset classes through an interactive and user-friendly web-based portal. As risk and regulatory requirements evolve, demand more robust and scalable technology platforms continues to grow. With the Market Risk Solution, users can customise and define business workflows, create bespoke dashboards and audit and permission access to the risk data. With the Market Risk Solution, users can customise and define business workflows, create bespoke dashboards and audit and permission access to the risk data. The Markit Analytics solution can run market risk calculations on large global portfolios of complex instruments faster than competitive risk management systems by employing supercomputing concepts, such as the vectorisation of calculations. Market risk is calculated using full revaluation of all instruments to ensure accuracy. The solution offers over 400 pricing models for OTC and exchange-traded products, ranging from the simple to the highly complex, across all major asset classes. In addition, a versatile and transparent framework allows end-users to customise and create new models. Using our Stress Definition Language, users can perform stress tests, scenario and sensitivities analysis. Markit Analytics – Market Risk Solution An enterprise-wide Value-at-Risk calculator and stress testing framework with cross-asset class support
Transcript of Markit Analytics – Market Risk Solution
More information
For more information on the products and services from Markit, please contact us at [email protected] or call one of our regional offi ces:
London +44 20 7260 2000
New York +1 212 931 4900
Amsterdam +31 20 50 25 800
Boulder +1 303 417 9999
Dallas +1 972 560 4420
Frankfurt +49 69 299 868 100
Hong Kong +852 3478 3948
Tokyo +81 3 6402 0130
Toronto +1 416 777 4485
Singapore +65 6922 4200
Sydney +61 2 8076 1100
markit.com
Clients
Investment banks
Value-at-Risk (VaR) at any confidence level, based on historical and Monte-Carlo Simulations
Stress and sensitivities ability to create ad hoc scenarios and stress all the risk factors
Incremental Risk Charge (IRC) Comprehensive Risk Measure (CRM)– supports Basel market risk capital charges
Flexibility
Supports full range simulation and pricing models and offers the ability to customise and create to meet regulatory and business requirements. Implement in batch or real-time mode, support industry-wide drive towards more real-time calculations.
Comprehensive coverage
Full set of VaR measures, including Marginal VaR, Incremental VaR and VaR attribution. Ability to capture full set of risk factors that underlie exposures. Calculates regulatory Incremental Risk Charge and Comprehensive Risk Measure.
Regulatory track record
Flexible architecture and advanced analytics that ensure compliance with Basel requirements.
Improved workflow
Bespoke dashboards enable integration into user workflows. Extendable to other Markit Analytics solutions for enterprise view of risk.
Markit Analytics Market Risk Solution provides a VaR calculator and stress testing framework across a broad range of asset classes through an interactive and user-friendly web-based portal.As risk and regulatory requirements evolve, demand more robust and scalable technology platforms continues to grow. With the Market Risk Solution, users can customise and define business workflows, create bespoke dashboards and audit and permission access to the risk data.
With the Market Risk Solution, users can customise and define business workflows, create bespoke dashboards and audit and permission access to the risk data.
The Markit Analytics solution can run market risk calculations on large global portfolios of complex instruments faster than competitive risk management systems by employing supercomputing concepts, such as the vectorisation of calculations. Market risk is calculated using full revaluation of all instruments to ensure accuracy.
The solution offers over 400 pricing models for OTC and exchange-traded products, ranging from the simple to the highly complex, across all major asset classes. In addition, a versatile and transparent framework allows end-users to customise and create new models. Using our Stress Definition Language, users can perform stress tests, scenario and sensitivities analysis.
Markit Analytics – Market Risk SolutionAn enterprise-wide Value-at-Risk calculator and stress testing framework with cross-asset class support
Copyright © 2013 Markit Group Limited Markit Analytics – Market Risk Solution – 07/08/2013
Markit Analytics – Market Risk Solution
Markit Analytics Portal
Markit Analytics Portal
The Markit Analytics Portal is a fully interactive interface that allows customisation of risk reports on the fly and the ability to slice and dice the results by using drag and drop capabilities.
The results are available at any level of granularity.
Markit Analytics’ reporting capabilities allow in depth risk analysis of the portfolio by breaking down the VaR numbers into user-defined dimensions (such as currency, desks and country, etc.) and also by calculating the contribution of the underlying risk factors to the total VaR.
The Markit Analytics Portal supports different types of graphical and numerical visualisation tools entirely customisable by the user.
Scalability
Ability to run on a single CPU or across large multi-core grid, enabling clients to respond to growing volumes and increasing complexity of portfolios.
Total cost of ownership
Vector-based mathematical engine provides unparalleled computational speed with no loss of accuracy or stability, reducing clients’ hardware requirements.
