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Analysis
Modules
1)
Contract Data
2)
Market Data
3)
Accounting (Balance Sheet / P & L)
4)
Exposure (GAP, Value)
5)
Value At Risk (VAR)
6)
Funds Transfer Pricing (FTP)
7)
Capital Adequacy (CAD, Market Risk)
8)
Dynamic Simulation (Scenario/Strategy)
9)
Historical Analysis
10)
Legal Reporting (Credit Risk, Basel II)
11)
Total Risk Management Framework
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'RiskPro
Modules by Dendrit Risk Management'
- GAP
(Liquidity/Sensitivity)
- GAP (Marginal/Residual/Cumulative)
- Value
(NPV and its Derivatives)
- - Duration
- - Convexity
- - Time Decay
- - Taylor Expansions
- - Delta
- - Gamma
- - Vega
- - Rho
- - ...
- Shift (Price/Volatility)
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