| Portfolio Monitoring Tools |
Monitoring portfolio is one of the most crucial features of the market risk module. These features increases the risk managers reporting opportunities dramatically. Customized reports can be prepared for top managers and for different departments. |
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| Yield Curve Module |
Yield curve calculation and yield curve modeling is the core of our market risk solution. We currently support for some interpolation methods (linear and cubic) and some well known yield curve models such as Nelson-Siegel , McCulloch and Echols-Elliot. |
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| Volatility Module |
Volatility module is essential for option pricing and parametric Value at Risk calculations. We deliver different volatility methods such as ; Moving Average, Exponentially Weighted Moving Average, GARCH and GJR. |
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| Pricing Module |
Our market risk solution has a powerfull pricing module. The module can calculate price of bonds, FRNs, futures/forward, swaps and many types of options including exotic options. |
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| VaR Module |
fMR software supports different kinds of VaR calculations including Historical Simulation, Filtered Historical Simulation, Weighted Historical Simulation,MonteCarlo Simulation, Parametric Method (VarCovar). VaR module also deliver Expected Shortfall, Extreme Value Theory, Marginal VaR and several Stress Tests. Backtest is also another important component of the module. |
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| Liquidity Module |
Our liquidity module provide some important calculations for trading portfolio such as duration, modified duration, gap analysis and "greek"s for the options. |
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