Risk Management
Enterprise risk management can help your organization get where you want it to go while avoiding hazards and shocks along the way. It entails more than balancing risk and reward, and it goes beyond regulatory compliance. It is about embedding risk management into everyday processes at all levels of the organization in order to truly drive business evolution.
vertiv provides solutions to address the following 3 categories of risk:
Credit Risk - Open, extensible environment with complete capabilities for Retail Credit Scoring, Corporate Credit Rating and Credit Portfolio Risk Management.
Market Risk - Capabilities for VAR calculations, Stress Testing and Scenario Analysis.
Liquidity Risk - Capabilities to calculate Cashflow mismatches, Positions, Collaterals, Stress Testing and What-if Analysis
Credit Risk
vertiv's credit risk solution provides an open, extensible environment with complete capabilities for retail credit scoring, corporate credit rating and credit portfolio risk management. The system is transparent and auditable, thereby facilitating supervisory review, both internally and by regulators, as required by Basel and other regulations.
vertiv's Credit Risk Management enables you to:
Access and aggregate credit data across disparate systems and sources.
Seamlessly integrate credit scoring/internal rating with credit portfolio risk assessment.
Accurately forecast, measure, monitor and report potential credit risk exposures across the entire organization, both on the counterparty level and portfolio level.
Evaluate alternative strategies for pricing, hedging or transferring credit risk.
Optimize allocation of regulatory capital and economic capital.
Facilitate regulatory compliance and risk disclosure requirements for a wide variety of regulations such as BASEL.
In addition, the underlying credit risk data model helps firms consolidate credit data from disparate sources and supports faster implementation. No other credit risk management software offers a more complete, end-to-end solution integrating data aggregation, analytics and reporting within a transparent framework.
Market Risk
Your organization faces market risk every day. Changes in foreign exchange rates, interest rates, stocks and commodity prices make you vulnerable to financial loss. As a result, uncertainty surrounds your future earnings, cash flows and the fair market values of your assets and liabilities.
vertiv offers a way for you to manage these uncertainties and gain insights that can lead to successful hedging strategies and the use of derivative instruments.
Solution Features:
Consolidated Risk Management System - All market and position data stored, standardized and processed at one place. Single point of control.
Complex calculations (VAR, EAR, GARCH, correlation) possible with highly scalable data grid and compute grid based architecture.
Real time P&L and risk calculations enabled via CEP (complex event processing) engine.
Rapid analytics using columnar data storage technologies.
Efficient business rule engine and BPM suite to streamline processes.
Supports stress testing and scenario analysis.
Can incorporate legacy and external vendor applications and models.
Flexible Metadata driven solution to cope up with the dynamics of business, models and regulations.
Solution Benefits
Low cost of integration and maintenance
Reduced time to market
Considerably less time required for calculations. Performance efficient
Supports complex and real-time calculations.
Integrity, Transparency and Auditability of data is maintained.
Flexible architecture makes it easier to incorporate changes.
vertiv's market risk management gives you the power to bring together information from across your organization, combine different instrument types into one portfolio, perform scenario and stress tests, calculate at-risk measures and deliver customized reporting back to a user.
Liquidity Risk
The data are used to monitor an individual organization's overall liquidity profile for institutions supervised by the Federal Reserve. These data also provide detailed information on the liquidity risks within different business lines (e.g., financing of securities positions and prime brokerage activities). In particular, the data serve as part of the Federal Reserve's supervisory surveillance program in its liquidity risk management area and provide timely information on firm-specific liquidity risks during periods of stress.
The FR 2052a report collects quantitative information on selected assets, liabilities, funding activities, and contingent liabilities on a consolidated basis and by material entity subsidiary. The FR 2052a comprises sections covering broad funding classifications by product, outstanding balance and purpose, segmented by maturity date.
FRTB, BASEL IV
FRTB is loosely defined as a set of proposals by BCBS as framework for the next generation market risk regulatory capital rules for large, internationally active banks. Think about it as the perspective successor of Basel III (some people start to call it Basel IV already).
Compared with existing market risk regulatory capital rules (Basel II/III), FRTB incorporates the following key gradients:
Expected Shortfall (ES), aimed to capture general market risk (roughly corresponding to the stress VaR component in Basel 2.5). Each risk factor is subject to a liquidity horizon scaling based on its liquidity profile (i.e., ease of unwinding the positions in market without significant impact on transaction prices).
Incremental Default Risk (IDR), which is designed to capitalize the jump to default risk of debt (including sovereign) and equity trading positions. Securitization products are completely disallowed in internal model treatment.
Finally, there is a capital add-on based on stress testing and scenario analysis which is designed to capture the risk of non-modellable risk factors (to be elaborated next).
In particular, eligibility and soundness of internal models are assessed and approved or disapproved on a (trading) desk by desk basis, based on criteria including P&L attribution, back testing and model independent assessment.
Efficient business rule engine and BPM suite to streamline processes.
Supports stress testing and scenario analysis.
Can incorporate legacy and external vendor applications and models.
Flexible Metadata driven solution to cope up with the dynamics of business, models and regulations.
Solution Benefits
Low cost of integration and maintenance
Reduced time to market
Considerably less time required for calculations. Performance efficient
Supports complex and real-time calculations.
Integrity, Transparency and Auditability of data is maintained.
Flexible architecture makes it easier to incorporate changes.