Part of the Midis Group
Market Risk
fmr

FINECUS is one of the leading Risk Management Software Companies providing insight to managers into the market, credit sectors. Our aim is to accurately quantify risks, to enable managers to optimize the use of their capitals, perform risk-return analysis while meeting regulatory requirements.

FINECUS Market Risk (fMR) enables risk managers to quantify market risk of their portfolio and to provide powerful reporting tools. fMR is an advanced software covering all the advanced VaR methodologies and the latest developments of the finance literature.

Key Advantages of fMR include ;

- Integrated Risk Management with FINECUS Credit Risk (fCR)
- Full-Valuation of the Portfolio at all simulations of Monte-Carlo
- Covers all the financial products including Exotic Derivatives
- Filtered and Weighted Historical Simulation
- Single Instrument drill down of VaR for each method and for each position type
- Advanced Yield Curve and Volatility Methods



Features of the Software


fmr

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.


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.


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.


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.


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.

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.



Project Phases


Database Design & Creation

The most important part of a financial application its database.


Customization & Installation

We believe that no solution fits to all the customers. Therefore all of our solutions are customized and have unique parts for the customer,either it would be a data integration module or a report page or a calculation.


Financial Training

Our financial trainings are aimed to provide transparency and to clear all the black-boxes.


User Training

Although our market risk module is very user-friendly, we support our customers with training on how to use the software. Users will be able to interpret the results and will have an understanding of the cause and effect relations.


Delivery & Further Maintenance

Maintenance after delivery is at least as important as module itself. Any new financial instrument and technique is added instantly to the software.



Programming and Technical Properties


Programming Language

FINECUS Market Risk module uses Java language. The most important feature of Java is, being a object oriented language. Object orientation paradigm makes developing applications easier and enables faster customizations and updates.


Application Features

Our market risk solution is a thin-client application which means that we require no software or hardware for user's computer. All procedures and calculations are handled by the server. User accesses to the tool via intranet using a browser such as Internet Explorer.


MS Excel Entegration

All data tables in the software are fully integrated with MS Excel. Data and reports can be exported to CSV, XML and to PDF files.