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Pricing
Models form the basic building block of the risk
management system. These cover vanilla instruments
to exotics and path dependent options.
BrainMatics’ proprietary Volatility models are key
to valuation of derivatives and reduce mispricing
error which has cost traders very dearly.
Proprietary Term Structure models are handy in
markets where the fixed income market is not mature
and not very liquid.
The market risk engine provides not only the
traditional VaR, but also risk attributed to various
market factors using the structural approach and
Factor Models. This approach is highly intuitive and
comprehensible and aids portfolio management
decisions. Besides, this also eliminates typical
challenges in risk calculation due to data issues
like handling large correlation matrices, missing
data, non-positive definite matrices etc. Factor
model is also handy in conducting Stress Testing of
portfolios.
BrainMatics Regulatory Compliance solution,
BaselMatics is state of the art capital charge
calculator, fully compliant with Basel II
guidelines. |
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Key Benefits |
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Accurate Pricing
Models for all instruments including
exotics & OTCs
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Market specific
Term Structure, Volatility and Factor
Models
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Ability to
handle non-Gaussian distributions
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Structural
approach to risk for better
comprehensibility
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Regulatory
compliance
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Comprehensive
stress testing framework
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