Explanatory note, FSA BIPRU 7:

‘Market risk – the risk of losses in on-and-off balance sheet positions arising from movements in market prices’.

Verasis Risk enables you to calculate the Position Risk Requirement according to both the Standard and Internal Model approach rules for a wide range of asset classes.

So now your business can benefit from a single system that will:

• Calculate:
  • Mark to Market by trade and / or position
  • VaR to deliver diversification benefits
• Allow the definition and analysis of multiple Simple, Complex and Idiosyncratic scenarios from multiple data sources
• Provide Intra-day and End of Day valuation and Market Risk analysis
• Provide the ability to establish where market risk lies
• Assess the impact of stresses on the P&L and Capital of the institution

The Verasis Market Risk module is the solution to these and many other applications. It has a powerful suite of Front Office and Risk tools that provide:

• Intra-day and End of day valuation and analytics at trade and portfolio levels
• VaR, Interest Rate Sensitivity, FX Rate Sensitivity, Volatility Sensitivity tools
• Fully flexible Scenario definition and generation across all market risk factors
• Full drill down to isolate and identify exposures at the lowest valuation levels
• The ability to meet the business and regulatory Market Risk requirements