News from 2007

Development of Credit module

Development of Version 2 of the Verasis Risk Credit Risk module has commenced and is scheduled for release in Q1 2008. This satisfies the Capital Requirements Directive and will help financial organisations comply under pillar 3 of the Basel Accord.

The module supports a full IRB (Internal Rating Basis) for Capital Calculations, combining internal weightings and score cards to facilitate PD (probability of default) calculations.

The module incorporates the ability to define multiple forward date valuation points and combine them with stress and historic market data scenarios. This enables it to perform LGD (loss given default) and EAD (exposure at default) calculations across multiple asset classes.

FRONT ARENA interface goes live at AIBC Dublin

The Verasis Risk/FRONT ARENA trades interface has gone live at Anglo Irish Banking Corporation in Dublin. The interface resides in Verasis Risk, capturing and emulating trades, as well as positions and reference data maintained in FRONT ARENA.

Liquidity module commences beta testing

Version 1 of the Verasis Risk Liquidity Risk module has been released. This incorporates functionality to facilitate both internal and external regulatory liquidity management and reporting. The regulatory liquidity reports defined and prescribed by Rialtóir Airgeadais (Irish Financial Regulator) have been integrated and are fully supported.

SunGard FRONT ARENA interface

SunGard’s FRONT ARENA is the latest third-party system to interface with Verasis Risk. This enables the following trade and transaction types:

  • Interest Rate Swaps (fixed vs float)
  • Cross Currency Swaps
  • Basis Swaps
  • Zero Coupon Bonds
  • Interest Bearing Deposits
  • Cap/Floors
  • Swaptions
Liquidity module in development

The Verasis 2.2 Liquidity module incorporates the regulatory structure of the Central Bank of Ireland. It produces both trader-orientated liquidity numbers and the hard-copy regulator template for liquidity reporting.

Scenario-based calculations allow the inclusion of various credit spreads, as well as the input of haircuts. Additional benefits include increased awareness and understanding of Asset and Liability behaviour patterns, through enhanced activity monitoring. Enhanced cash flow management also facilitates synergy savings for staff and more efficient daily liquidity management.

Verasis Risk 2.2 goes live at AIBC

AIBC has now successfully upgraded to Verasis Risk 2.2. This gives the bank enhanced VaR and Sensitivity Stress Testing. It also provides Asset and Liability Management functionality, using multiple market data sources across wholesale and retail asset and liability classes.

Fergal Mullin (AIBC Group Risk) says:

‘The project and upgrade to version 2.2 of Verasis Risk provides the bank with significant gains in both functionality and speed.
‘The speed enhancements delivered in version 2.2 make intra-day full historical simulation VaR possible.

‘Version 2.2 also provides us with a broader set of tools with which to regulate, stress and appraise the Treasury area of the bank.

‘The speed and success of the upgrade project represents the culmination of an enormous effort from the AIBC Treasury Risk/ALM and Verasis teams. The speed with which the system can be validated is greatly enhanced by:’

  • The configurable “logging” function, allowing the publication of full valuation detail
  • Use of standardised FINCAD objects that can be validated in isolation via FINCAD XL
  • Verasis’ open approach to both data and business processes
Verasis Risk 2.2 provides the following upgraded functions and benefits:
  • Valuation Engine: improved architecture, giving speed and efficiency gains
  • Supports multi-threading, leading to improved performance
  • ALM module: retail and treasury analysis and reconciliation
  • Cash flow profiles, allowing specific selections for processing
  • Back-testing improvements: fully automated process for justifying VaR model selection and corresponding VaR results
  • Sensitivity module: enhanced detection of shifts in FX rates and volatilities for FX, Caps and Floors, and Swaptions
  • Multi-entity processing
ALM module commences beta testing

The development of the Asset and Liability Management module enables a bank’s treasury and retail books to be analysed and reconciled, automatically and in real-time. It profiles the retail book’s asset and liabilities in relation to treasury deals. In so doing it allows:

  • Full day-to-day reporting comparison functionality
  • The archiving of historical reports
  • Improved drill-down functionality
  • Identification of day-to-day differences, with drill-down within those differences

 

If you would like more general information on Veratec or Verasis, please contact us on +44 (0)20 7375 1000, or email us at info@verasis.com.

Veratec Ltd does NOT claim any ownership of FRONT ARENA. FRONT ARENA is the property of the SunGard Data Systems Inc group of companies. Veratec Ltd is not linked to or endorsed by SunGard Data Systems Inc. Nothing on this website shall grant or purports to grant any rights in or licences to use FRONT ARENA.

Veratec Ltd does NOT claim any ownership of OPICS. OPICS is the property of members of the Misys plc group of companies. Veratec Ltd is not linked to or endorsed by Misys plc. Nothing on this website shall grant or purports to grant any rights in or licences to use OPICS.

Veratec Ltd does NOT claim any ownership of TEMENOS T24. TEMENOS T24 is the property of members of the TEMENOS group of companies. Veratec Ltd is not linked to or endorsed by TEMENOS. Nothing on this website shall grant or purports to grant any rights in or licences to use TEMENOS T24.