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.

signing paper document contracts pen paper icon
Basel compliance

Market value of counterparty credit risk (CVA) supports Basel compliance.
digital search magnifier icon
Data consistency

Ensures data consistency at the most granular level with reconciliation and validation engines.
person laptop gear increase productivity support customer service expertise quality icon
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

GettyImages-1177044867

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

  • PS15/23 and Basel 3.1: A guide for small UK domestic deposit takers
    Article
    Compliance
    Finance
    March 26, 2024
    PS15/23 and Basel 3.1: A guide for small UK domestic deposit takers
    With the Basel III reforms aka Basel 3.1 standards to be fully implemented by July 1, 2025 in the UK, the PRA is proposing a simplified prudential framework for non-systemic domestic banks and building societies.
    Learn More
  • Unlocking the power of granular data reporting for financial institutions
    Article
    Compliance
    Finance
    March 19, 2024
    Unlocking the power of granular data reporting for financial institutions
    Achieve regulatory compliance with precision: Explore how granular data reporting enhances oversight and reduces the reporting burden for financial institutions in our detailed guide.
    Learn More
  • Strengthening your bank's future with ALM and IRRBB in the APAC region
    Webinar
    Compliance
    Finance
    March 13, 2024
    Strengthening your bank's future with ALM and IRRBB in the APAC region
    This webinar will delve into the evolving banking landscape in the APAC region and explore the crucial role of Asset Liability Management (ALM) and Interest Rate Risk in the Banking Book (IRRBB) in navigating the challenges faced by banks.
    Learn More
  • Wolters Kluwer wins Best Regulatory Compliance Solution for IFRS 9 at the RegTech Insight APAC Awards
    Press Release
    Compliance
    Finance
    March 06, 2024
    Wolters Kluwer wins Best Regulatory Compliance Solution for IFRS 9 at the RegTech Insight APAC Awards
    OneSumX IFRS 9 has won the RegTech Insight APAC Awards 2024 for the Best IFRS 9 Solution. The solution supports clients with the implementation of the full International Financial Reporting Standard 9 (IFRS 9).
    Learn More
  • Liquidity Risk Management
    Solution Detail
    OneSumX Liquidity Risk Management
    A solution that combines risk management, stress testing, and regulatory reporting into a platform that monitors, manages and reports liquidity risk. The solution allows organizations to manage liquidity coverage ratio and data granularity.
    Learn More

Downloads

Browse all OneSumX FRR downloads

OneSumX Market Risk Solution Primer
Market Risk Solution Primer

OneSumX IFRS Stress Testing Solution Primer
Stress Testing Solution Primer

Financial Risk Management Overview Brochure
Financial Risk Management Brochure

Request more information about our OneSumX for Risk solutions

  • No obligation. Talk to an expert about your specific business and implementation needs.

  • Your details won't be shared. We'll only contact you about OneSumX FRR solutions.

  • Opt out, or change preferences, at anytime.

Back To Top