Benefits of our market risk software

OneSumX Market Risk provides market risk management and measurement, combining the banking and trading book with a range of risk tasks including dynamic hedging, and ALM metrics. Move away from a silo-based approach with our future-proofed solution that gives an integrated view of clean P&L calculation and risk on the balance sheet.

Access risk analytics and techniques ranging from basic market sensitivity analysis and gap analysis, through to more advanced Value at Risk (VaR) measurement approaches.

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Basel compliance

Market value of counterparty credit risk (CVA) supports Basel compliance.
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Data consistency

Ensures data consistency at the most granular level with reconciliation and validation engines.
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Integration options

Gain a holistic view with the option to integrate market risk with other risk types, as well as finance and regulatory content (including regulatory reporting).

FRTB requirements and market risk analysis

As part of the FRTB requirements, financial institutions with trading activities will need to perform an impact analysis on implementing standardized models. And in some cases, internal models. The latest Basel guidelines will require firms to maintain compliance in a different way to its predecessor. To help comply with FRTB and underlying requirements of credit and market integration, our OneSumX suite of solutions can help.

Regulatory compliance is addressed with the help of our risk calculators that are based on the same data set:
  • Standardized, simplified approach and internal model approach
  • Both according to Basel requirements as for local regulators
  • Regulatory Reporting for nearly 50 countries as part of OneSumX Regulatory Reporting
  • Compare internal models with regulatory calculations to support Basel pillar 2 requirements


OneSumX Market Risk solution features

Our solution offers advanced risk metrics capabilities and gives you an integrated view over various risks. Measure and manage market risk both on the contract level and at the portfolio level. The OneSumX solution is not limited to the trading book but is specifically designed to manage the full balance sheet. This includes the banking book and off-balance sheet items.
  • Centralized data structure

    Reliable data is achieved with a single data architecture specifically designed for financial institutions. This centralized data structure allows you to:
    • Hold all required data for integrated risk and finance: market, contract and reference data
    • Use multi-entity and multi-currency set-up
    • Gain full data level access control to segregate roles and responsibilities
    • Access adjustments with pre-filled corrections under strict control
    • Trace the process with full transparency
  • Flexible product modeling

    Enable correct product valuation, cash flow generation and forecasting by:
    • Assigning all contracts to a specific contract type, driving product modeling
    • Extensive product coverage from plain vanilla to exotic
    • Multiple valuation techniques including discounted cash flow model, capital asset pricing model, Black-Scholes (generic), Bouaziz-Briys & Crouhy, Hull-White, Ikeda & Kunitomo, Reiner & Rubinstein, Turnbull & Wakeman, Margrabe, Trinomial Trees, Libor Market Model
  • Advanced risk metrics

    The core of all risk analysis is able to compute the relevant metrics using state of the art techniques:
    • Value and exposure calculations, i.e. Fair value, NPV, nominal, observed market value, amortized cost, and various discounting methods
    • Key rate duration, convexity and Greeks
    • Sensitivity measures (incl. gap analysis)
    • Price and volatility shift analysis for analyzing effect of price/volatility shift on income and value
    • Replicating portfolio for non-maturing financial contracts/portfolios
    • Fund transfer pricing (FTP) rate(s) and profitability measures (NII, EVE)
    • Dynamic simulation and forecasting
    • Market value of counterparty credit risk (CVA which supports Basel III compliance)
    • P&L volatility and P&L explanation by risk factors
  • Advanced risk analysis

    All modern techniques required by the industry are available out of the box:
    • Full revaluation VaR model
    • Parametric VaR based on RiskMetrics™ methodology
    • Historical VaR
    • Monte Carlo VaR
    • Integrated VaR combining credit and market risk
    • VaR backtesting
    • VaR decomposition by risk groups to allow for analyzing impact of interest, FX or stock value on VaR
    • Incremental and component VaR analysis
    • Stressed VaR

Expert insights and related solutions

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