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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'
- Parametric
VAR (Risk Metrics)
- Monte
Carlo VAR (Simulation within Matrix)
- Historical VAR (Simulation
of the Past)
- Backtesting
- - Normal
Distribution, Relative Returns
- - Confidence Interval,
Holding Period
- - Risk Sensitivity
Vectors
- - Volatility, Correlation,
Covariance
- - Covariance Matrix
- - Benchmarks
- - Decomposition
by Risk Groups
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