Market Risk

The Torstone Risk Scenario Engine orchestrates the calculation of primary and time-bucketed risk measures as well as higher level risk metrics such as 95% hVaR, expected shortfall, and incremental risk charge. Calculations can be farmed out across on-premise front-office trading systems and Torstone’s Cloud Analytics library of 150+ credit, fixed income, FX, equity, and commodity derivative pricing models.

Torstone Risk provides a full set of Market Risk analytics including VaR, Historical VaR, Stressed VaR, Incremental VaR, Worst Case Scenarios, and Expected Shortfall.

Torstone Risk has a highly optimised risk data warehouse and a powerful aggregation engine at its core, which incrementally loads data in real-time and provides live risk measures and dimensions based on OLAP cubes. Limits can also be placed on these measures for live monitoring and alerting.

Instant drill-down capability is available including for non-additive measures such as hVaR and expected shortfall. This provides the basis for Torstone’s Regulatory Compliance solution for the Fundamental Review of the Trading Book (FRTB) regulation.

• Position Level Risk Aggregation
• Primary and Time-Bucketed Market Risk Factors
• Historical Value-at-Risk and Expected Shortfall
• Live Factor Limit Monitoring
• FRTB (Standardised Approach)
• FRTB (Internal Models Approach)