For credit risk, the new Universal Credit Risk Add-in calculates a portfolio’s exposure to counterparty risk. A major feature is the use of an analytical methodology which provides a considerable speed advantage over traditional Monte Carlo approaches and which supports default correlations. Instantaneous calculation of credit risk enables real-time monitoring by traders and risk managers. For market risk, the updated release of Universal VaR Add-in now also supports historical Garch simulation without a variance/correlation table. This considerably improves robustness and accuracy. The calculation and comparison of Analytical, Monte Carlo, stress and historical Garch VaR enhances risk management. The Universal VaR Add-in calculates a portfolio’s exposure to market risk and expresses the exposure in terms of Value-at-Risk (VaR). It also calculates ‘Incremental VaR’ (the incremental effect of a single trade on the whole portfolio’s VaR). Cash flows are automatically mapped to multiple vertices. The add-in also calculates the historical variances and correlations between assets.
A report by broking group Marsh examines the repercussions from the administration of the South Korean company, which filed for bankruptcy protection at the end of August.
Global research by C2FO suggests that smaller businesses are less concerned with the repercussions of Brexit and the upcoming US presidential election.
A squeeze on skilled talent means it now takes an average of seven weeks to fill open permanent roles in finance in the UK according to new research from financial services recruitment firm Robert Half.
Early-stage merger and acquisition deals in Asia-Pacific show nearly 10% year-on-year growth in recent months.