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.
The annual BNP Paribas Cash Management University kicked off on Thursday morning with treasury professionals congregating in Paris from across Europe.
APIs may be a solution to MT940 challenges, says Karen Fagan, treasury operation manager, for British television company, ITV.
Kicking off the first day of the Singapore Fintech Festival, issues with cryptocurrencies were addressed by MIT media labs director, Joi Ito, and panels of technology leaders discussed how they’re using data analytics.
Sibos 2017 day two highlights: Brexit and banking, and why ‘data is the new oil’ in financial services
How nation first politics can impact global financial organisations It’s clear that data and regulation are the two key topics that are ... read more