[Case] SZENA IRC – Treasury and Market Risk Management

[Case] SZENA IRC – Treasury and Market Risk Management – PROPRIETARY SOFTWARE

Share:

25/10/2021

Representative Case Industry - Finance & Regulation

SaaS Proprietary Solution

Simulation and valuation capabilities of our SzenaRisk platform, the necessary calculation modules are incorporated to obtain the new metrics.

Do you want to know more about our solutions?

Get in touch with a specialized consultant in Finance & Regulation

Contact

The approach

Design and build a proprietary solution capable of calculating the incremental risk measure (IRC) to the VaR of the trading book, incorporating default and migration risks.

The tool had to cover all the requirements of the regulator, specified in the TRIM guide.

Results

The solution passes the internal controls of the validation area and is approved by the ECB. The stability of the results and the analysis capabilities are improved.

Executions are performed on a daily basis, reducing the time spent by users on each calculation.

During the project time, the volume of the portfolio is considerably increased.

x10 nª Scenarios
x4 Positions
>90% time-saved in execution

Do you want to know more finance & regulation?

Share:

Related entries

Loading...

Nfq closes a collaboration agreement with REGIS-TR

Nfq closes a collaboration agreement with REGIS-TR, the main European trade repository. Nfq closes a collaboration agreement with REGIS-TR, the...

Final Draft Consolidated RTS for the Sustainable Finance Disclosure Regulation (SFDR)

Objective and ContextOn 22 October 2021, the European Supervisory Authority (ESA) published Regulatory Technical Standards (hereinafter RTS) in relation to...