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Verasis Server product profile

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Verasis Server at Anglo Irish Bank case study

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Verasis Server

Intuitive risk management and regulatory compliance.

Banks and financial institutions are the interface between complex financial markets, ever changing regulatory regimes, and clients who are becoming ever more sophisticated; whether individuals or organisations.

Verasis Server introduces a new paradigm for the way these institutions manage many of their business processes. It provides a platform that supports what historically have been disparate business functions. It also ensures full compliance with all current and future regulatory obligations. All of this is processed from within a single system.

Verasis Server operates with a valuation engine at its ‘heart’ or ‘core’. This interfaces with, and manages the various business requirements and regulatory processes within financial institutions. Its database is fully relational and normalised to include Market Data, Trades Data and Reference Data warehousing.

Mouse-over the diagram for information on the indiviudal Verasis Server components.

Valuation Engine

The single valuation engine provides all calculations to the many and varied business processes supported by Verasis Server. Built using Microsoft’s latest development environment and concept, it combines with the most recent FinCad math library. The engine is a fast, modern and flexible application that complies with market-standard math and development approaches.

Market Data Warehouse

This handles both historic and current data for interest rates, exchange rates and volatility rates. The homogenised format allows fast and convenient access by the Engine.

Trades Data Warehouse

This is structured to reflect the inherent properties of the trade, such as reference details for Reporting and financial details for the Valuation Engine. Financial details are segregated into linear and non-linear components.

Reference Data Warehouse

This is structured on a tiered basis, which provides powerful grouping and granularity for use in Reporting.

Reporting Engine and Report Warehouse

Reporting in the Verasis Server is structured to bind the valuation engine results with the respective market, trade, or reference data. This produces fast and comprehensive reporting, with multiple levels of drilldown and full granularity.

The engine is capable of producing both ‘live’ and ‘static’ reports to satisfy both the immediate and end-of-day reporting requirements. ‘Live’ reporting takes full advantage of the fast and efficient database to produce real-time, on-line, on-demand reports. ‘Static’ reporting enables pre-defined reports to be generated in various flat and Crystal Report output formats.

Financial Risk

Verasis Server covers the full spectrum of financial risk for individual trades and positions. This covers:

  • Nominal currency amounts – standard limits and gapping approaches
  • Sensitivity to market factors (Greeks) – impacts of user-defined market data shifts (FX rate, interest rate, volatilities)
  • VaR implied by Monte Carlo and historical simulation

Credit Risk

This facilitates the proactive management of credit risk, while also meeting all regulatory credit requirements. Aggregation and grouping at trade, position and customer levels combine with advanced credit methodologies (EPE) and VaR-based scenarios. This provides extensive credit analytics, both pre- and post-trade commitment.

ALM and Cash Flow Management

This functional area operates at three key levels:

  • Catering for the immediate requirements of settlement account management, Nostro/DDA/settlement account instructions, and the near- and medium-term funding requirements implied by liquidity mismatches
  • Analysing and profiling assets and liabilities, based on historic behaviour and activity
  • Appraisal and analysis (gapping, sensitivity and cash flow) of the positions implied by the combination of profiled assets and liabilities, together with their respective hedging and funding instruments

Compliance and Capital Adequacy

This addresses the critical regulatory demands in calculating and reporting capital adequacy, both for credit risk and financial risk, including requirements under Basel II.

The minimum capital requirements are determined on credit risk and financial risk exposure (pillar 1). The supervisory review process (pillar 2) is supported through stress and back testing, which is incorporated into standard and automated processes and reporting.

Collateral Management

This helps mitigate credit risk by evaluating credit exposure with counterparties and then processing collateral movements to cover it. By integrating with the Credit Risk, Trade Data, Market Data, Reference Data and Valuation functions it establishes collateral requirements, while also reporting and processing the necessary client account entries to reflect the collateral movements.

Trade Facilitation and Analytics

This incorporates on-line capture and evaluation of trades and structured products for credit and financial exposure impact, whether prior to or post trade commitment.

Trade and position risk management is supported by a hierarchy of integrated analytical tools, such as nominal and currency exposure, behaviour modelling, gapping, sensitivity (five standard Greeks), VaR, credit exposure. All are supported by stress testing, limit maintenance, multi-level drilldown, and automated reporting.

Hedge Accounting

This caters for the full hedge-accounting process, from the interface of the underlying position balances and respective hedge items, to the accounting implied by full regression analysis. It incorporates or caters for:

  • Cash flow hedges
  • Fair value hedges
  • Income hedges
  • Multi currency asset hedges

 

 

 
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