RiskGuard* is a comprehensive solution for management of credit, market and operational risk, fully compliant with Basel II standards and local regulatory requirements. In addition, RiskGuard* offers a set of tools for advanced Asset and Liability Management (ALM) and trading portfolio management. The onset of global financial crisis sets a comprehensive and accurate measurement, reporting [ Read More ]
The RiskGuard* Credit Risk Module covers basic and advanced calculations of different measures of credit risk, in accordance to Pillars 1 and 2 of Basel II: Calculation of credit risk exposures for on- and off-balance sheet risky assets Estimation of credit transition matrices Estimation of principal measures of credit risk (PD, LGD, EAD, maturity, expected [ Read More ]
The RiskGuard* ALM Module offers a set of tools for static and dynamic Asset and Liability Management: Structural breakdowns Computation of cash flow projections and maturity structure Calculation of the term structure of interest rates Analysis of market risk in the banking book: – Total VaR for market risk in the banking book, total and [ Read More ]
The RiskGuard* Market Risk Module covers basic and advanced calculations of different measures of market risk, in accordance to Pillars 1 and 2 of Basel II: Calculation of positions and market risk exposures (on- and off-balance sheet), using mark-to-market and mark-to-model methods Estimation of Value-at-Risk (VaR) under analytical method (EWMA, univariate and multivariate GARCH models) [ Read More ]
The RiskGuard* Operational Risk Module covers calculations of different measures of operational risk, in accordance to Pillars 1 and 2 of Basel II: Calculation of operational risk exposures Calculation of operational risk capital charges according to Basel II Basic Indicator Approach (BIA) and Standardized Approach (SA) Internal operational risk assessment model based on the loss [ Read More ]
The RiskGuard* Trading Portfolio Module is equipped with a range of tools for active risk management of the trading portfolio. These include: Overview of trading portfolio and its sub-portfolios Technical analysis Portfolio optimization Calculation of performance measures
The RiskGuard* Regulatory Reporting Module covers a range of compliance reports in accordance with the local regulatory framework. Specifically, these tools include: Basel II reports Pillar 3 disclosure reports A comprehensive set of local regulatory compliance reports COREP reporting tools A set of liquidity risk reports ALM reports
The RiskGuard* Data Validation Module is a set of tools which controls the quality of data prepared for input from the data sources into the RiskGuard* Data Access Layer. This set of tools is designed to work with large datasets. It offers both day-by-day and time-series import. Validation is based on a multi-criterion analysis, and [ Read More ]