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Market risk

Risk. Treasury. Regulatory. Controlling. Accounting.

Market risk arises from adverse movements of risk factors like interest rates, equity prices, currencies rates, commodity prices, basis, holding period, volatilities, margining and so on with respect to value, income and cash flows.

RaPID includes all this risk factors, allows its stress testing and calculation of the effect in terms of value, income and cash flows:

  • Net present value
  • Yield to maturity
  • Fisher-Weil duration, modified duration and Macaulay duration
  • Convexity
  • Greeks for options: Delta, vega, theta, rho, gamma
  • Value at Risk based
    • parametric
    • historical
    • Monte Carlo

OLAP reporting, slicing & dicing, full drill down to the underlying instrument