RISK MEASURES AND METRICS
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.
FULL SET OF MARKET RISK ANALYTICS
Torstone Risk provides a full set of Market Risk analytics including VaR, Historical VaR, Stressed VaR, Incremental VaR, Worst Case Scenarios, and Expected Shortfall.
HIGHLY OPTIMISED RISK DATA WAREHOUSE
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.
OUR MARKET RISK SOLUTION AT-A-GLANCE
- 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)