Wealth Management

Risk Management

Risk Management

Market risk management
We know that computing different risk metrics such as volatility, VaR and expected shortfall are the fundamentals of risk management. However such measures are abstract and often based on assumptions that may be difficult to understand by the average investor. Our Market Risk module helps you explain these assumptions by basing the quantitative finance calculations on concrete economic factors that clients can evaluate. The advanced models support fat-tailed distribution, historical simulation and Monte-Carlo simulations. It can also accurately compute your credit exposure and understand the risk contribution to your portfolios by financial instrument, asset class, industry sector and currency.

Factor model
The factor model accurately identifies the Beta of your portfolio, giving you a quick view of how your own returns will fare against those of the market. In addition, it aids you in explaining to the customer the impact of other sources of risk such as economic factors and idiosyncratic risk. Gain a more accurate prediction for the performance of your portfolio by incorporating economic forecasts and identifying relevant seasonal trends so as to better understand the movements of your assets.

Volatility estimation
Volatility is an ongoing issue for everyone in the financial industry. This module allows you to measure volatility in a timelier manner, by looking at the economic cycles of the assets in your portfolio. Using these same data, you can easily explain to customers the changes in volatility occurring at any one time. The volatility can be measured using historical, EWMA or GARCH methods.

 

Credit risk management
Credit risk management is a process that has long been a challenge for financial institutions. Ever since the global financial crisis, regulators – in accordance with Basel III – have been demanding increased transparency of institutions, customers and their associated credit risk.

As a result, many financial institutions are overhauling their approach to credit risk, but viewing this as strictly a compliance exercise is to be short-sighted. Better credit risk management also affords an opportunity to greatly improve overall performance and secure a competitive advantage.

Our Credit Risk module allows users to make sound decisions on credit risk, supporting a broad range of derivatives, options strategies and structured products. You define the collateral requirements based on a large range of sources and datatypes: demographic, personal, economic or credit-related. The Prospero solution offers a comprehensive suite of credit risk management and data analysis tools, which enable you to gain an edge on existing credit scoring methods.

Using the comprehensive overview of your underlying assets, the system can calculate interest, balance collateral needs, counterparty exposure measures including current exposure, potential future exposure, peak exposure and stress exposure, manage end-to-end margin call workflows, reconcile margin call disputes and produce fullycustomizable client statements.

 

Collateral risk management
Regulations, and supervisory frameworks such as BASEL III, IOSCO (International Organization of Securities Commissions), have changed the landscape of collateral management, driving an increase in collateral requirements for OTC derivatives trading and non-cleared OTC derivatives trading.

Our solution supports all of your regulatory and strategic collateral management, providing you with a complete
overview of everything you need such as your collateral, market positions, transactions and margin call conditions. With Prospero, you benefit from a wide range of tools, including: exposure calculation and margin management, portfolio margining and collateral optimization.


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