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RiskCraftTM.MARKET
RiskCraftTM.MARKET is the best market risk solution with state-of-the-art risk regulation and methodology, excellent calculation performance and high user convenience.
Main function
- Volatility / correlation: MA / EWMA, Historical volatility / Implied volatility
- Sensitivity: Beta, Duration / Convexity / PV01, Delta / Gamma / Vega / Theta / Rho
- Value at Risk: Delta-gamma(normal), Historical, Monte Carlo VaR, Stressed VaR
- Expected Shortfall
- Stress Test: User-defined / Historical scenario simulation, Inverse stress test
- Back Test: Hypothetical P/L back test, Actual P/L back test
- Standard approach: Basel 2/3 SA(bank), RBC(Insurance company), NCR(Securities)
Key Features
- Excellent simulation performance
- Modular calculation function
- Openness to the valuation function
- Transparency of calculation process
