- Measure FX and Interest Rate Risk, both separately and together
- Covers static & dynamic approaches
- Economic and earnings sensitivity
- Basic risk reporting and analysis
- Includes ability to include pre-payment and behaviour curves and pipeline
- Will take account optionality
- Flexible choice in treatment of capital and reserves and other non-interest items
- Pricing and Fair Value of instruments to multiple yield curves
- Gap Analysis – A flexible gap reporting tool is available across categories, markets and to any combinations of time periods
VALUE AT RISK
Value at Risk has become a popular method for calculating market risk. A single value at risk measurement is calculated with reference to a statistical volatility based on a confidence level, i.e. a probability, and a holding period (the time over which the potential loss can occur). This technique requires a volatility measure. ALMIS can use the volatility statistics provided by Risk Metrics or using a banking institutions data if preferred.
Value at Risk is an estimate with pre-determined confidence intervals of how much one can lose from holding a position over a set time horizon, whether it is one day for typical trading activities or a month for portfolio management. This method uses historical volatility and correlation of rates and prices to estimate the market risk in positions.
Basel Committee on Banking Supervision have published its latest paper on Interest Rate Risk (IRRBB). This paper details Interest Rate Risk principals updated since the consultation paper was published last year. The Committee has concluded that the heterogeneous nature of IRRBB would be more appropriately captured in Pillar 2.
ALMIS take a proactive approach to ensure that the system is kept up to date with FSA regulations and they’re quick to repsond to any issues that we have.
ALMIS is an excellent financial risk system which is very user-friendly, backed up by great customer support, all at real value for money.
ALMIS is a comprehensive earnings, market and liquidity risk system, looking at present and dynamic forward looking metrics, at a reasonable cost coupled with excellent service.
ALMIS has a very user friendly interface which incorporates many aspects of risk management. If you have a support issue, they are very quick to respond and get issue resolved.