Market Risk

Portfolio Valuation and Risk for Multi-Asset Derivatives and Fixed Income

Our flexible, high-performance, and transparent solutions help over 1,000 global organizations enhance investment returns, manage risk, reduce costs, comply with regulations, and provide confidence to investors and shareholders.

Comprehensive Risk Analytics and Reporting

Nearly all financial institutions today must calculate value at risk (VaR) in order to satisfy regulatory requirements. But often firms do not have the sophisticated level of systems needed to run such complex calculations. In effect, many turn to standard VaR providers, however such providers often apply a very basic approach to VaR. Reports are static, calculations are run on a preset schedule, and there is often no coverage for exotic instruments.

F3 provides powerful functionality for VaR calculation and reporting, giving you access to the information you need to meet both business and regulatory requirements. F3 VaR uses industry standard Historical and Monte Carlo simulation methodologies, each configurable to your unique requirements. VaR calculations can be run anytime you choose, and comprehensive reporting helps you fully understand your portfolio risk with the ability to slice and dice data as you see fit. 

How You Benefit

  • Calculate VaR On-Demand: Easily run VaR calculations at any time you choose
  • Enjoy Extensive Coverage: Calculate VaR on multi-currency, multi-asset derivative portfolios
  • Access Powerful and Consistent Reports: The front and middle office are aligned and working with the same data, assumptions, and calibrations; reports can be generated anytime, on-demand
  • Gain Incredible Flexibility: Get infinite flexibility in running scenarios, determining cash flows and profit and loss (P&L), as well as performing stress testing
  • Understand Your Risk in Real-time: Reports can be scheduled to run via a user-configured batch process, giving you complete flexibility over the timing of your firm’s intra-day risk numbers

Key Features

  • Consistent Methodology for both VaR and Pricing: Access to consistent results across teams eliminates the possibility of inaccurate reporting
  • Choice of Models and Factors used for VaR, Pricing and Risk: F3’s extensive coverage allows you to accurately calculate VaR on even the most exotic instruments
  • Valuable Risk Analytics: F3 gives you the option to view additional risk analytics, together with first and second order sensitivities
  • Powerful Technology: F3 uses in-memory data cube technology for real-time aggregation and break-down of VaR figures, including expected shortfall, and marginal-/incremental-/conditional-VaR at the trade, book or portfolio level

F3 provides comprehensive multi-asset class coverage for:

  • Interest Rates
  • Fixed Income
  • FX
  • Equities
  • Inflation
  • Mortgage-Backed Securities (MBS)
  • Commodities
  • Exotics

Contact us to learn more, or request a custom demo. 

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Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.

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VALUE AT RISK

Learn more about FINCAD's VaR Solution.