Market Risk Management (TR-MRM)
System Requirements for Market Risk Management
Planning/Analysis
Analyzing Currency Risk of Financial Transactions
Analyzing Interest Rate Risk of Financial Transactions
Analyzing Currency Risks in Fin./Underlying Transactions
Information System
Mark-to-Market Valuations
Position Valuation
Matrix Valuation
Profit/Loss Evaluation
Value at Risk
Historical Simulation: Full vs. Delta Valuation
Historical Simulation
Executing Historical Simulation
Variance/Covariance Approach Theoretical Basis
Variance/Covariance Approach
Executing Variance/Covariance Approach
Exposure
Calculating Currency Exposure
Calculating Interest Rate Exposure
Calculating the Cash Flow
Price Parameters
Interest Tables
Structure of the Yield Curve
Interpolation
Zero Bond Discounting Factors
Forward Rates
Evaluation of Yield Curves
Volatilities
Scenario
Editing a Scenario
Market Data Shift
Creating Market Data Shifts
Datafeed
Displaying Market Data
Requesting Current Market Data
File Interfaces
Rates and Prices
Generate Requirements List
Importing Statistical Data
Master Data
Risk Hierarchy
Maintaining Risk Hierarchies
Tools
Saving OTC NPVs
Calculating Bond Prices
Option Price Calculator
Interest Calculator
Statistics Calculator
Executing Statistics Calculation
MRM Price Calculator
Price Calculator for Financial Instruments
Loan Transactions
Money Market Transactions
Spot Stock Transactions (on an Exchange)
Bonds (Listed)
Spot Currency Transactions (OTC)
Forward Exchange Transactions (OTC)
Currency Options / Currency Barrier Options (OTC)
Options on Bonds (OTC)
Option Price Calculator
European Standard Options (OTC)
European Barrier Options (OTC)
American Standard Options (OTC)
Caps (OTC)
Floors (OTC)
Swaps (OTC)
Swaptions (OTC)
Forward Rate Agreements (OTC)
Interest Rate Guarantees (OTC)
Function Modules
Accrued Interest
Calc. Cumulative Dist. Fnct. for Stnd. Norm. Dist.
Convexity Adjustment