Market Risk | Wolters Kluwer Financial Services OneSumX
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OneSumX Market Risk

  • The OneSumX Market Risk solution provides an integrated view of profit & loss and risk on your balance sheet, both from a risk and a business unit perspective.

    While in the past market risk was almost solely oriented towards the trading book, Basel II and III have focused more on market risk in the banking book and on the integration of credit and market risk, for example with the credit valuation adjustment (CVA) rules. The silo-based approach for risk is being banished into the history books; and firms are looking for future-proofed solutions which provide an integrated view of P&L and risk on the balance sheet, both from a risk perspective and from a business unit perspective.

    Based on a centralized data structure specifically designed for financial institutions, our OneSumX Market Risk solution offers all modern risk analytics and techniques, from basic sensitivity and gap analysis, through more advanced Value at Risk (VaR) techniques and into simultaneous dynamic simulation of credit and market risk, based on Monte Carlo modeling.

    Standard reports looking at the results both from a high-level balance sheet view and at a detailed contract-by-contract view offer out-of-the-box usability and can be extended into customer specific reports by the end user. Added to this is integrated regulatory compliance support, demonstrating that Wolters Kluwer is a trusted partner able to comprehensively address all of your market risk requirements.

    Our OneSumX Market Risk solution offers the following:

    • Centralized data organization - ensures that reliable data is achieved with a single data architecture
    • Flexible product modeling which enables correct product valuation, cash-flow generation and forecasting by assigning all contracts to a specific contract type
    • Advanced risk metrics including:
      • Value and exposure calculations, i.e. Fair value, NPV, nominal, observed market value, amortized cost, various discounting methods etc.
      • Key rate duration, convexity and Greeks
      • Sensitivity measures (incl. gap analysis)
      • Price and volatility shift analysis for analyzing effect of price/volatility shift on income and value
      • Replicating portfolio for non-maturing financial contracts/portfolios
      • Fund transfer pricing (FTP) rate(s) and profitability measures (NII, EVE)
      • Dynamic simulation and forecasting
      • Market value of counterparty credit risk (CVA which supports Basel III compliance)
      • P&L volatility and P&L explanation by risk factors
    • Out of the box advanced risk analysis:
      • Full revaluation VaR model
      • Parametric VaR based on RiskMetricsTM methodology
      • Historical VaR
      • Monte Carlo VaR
      • Integrated VaR combining credit and market risk
      • VaR backtesting
      • VaR decomposition by risk groups to allow for analyzing impact of interest, FX or stock value on VaR
      • Incremental and component VaR analysis
      • Stressed VaR
      • Potential Future Exposure (PFE) analysis