mRisk 

Market Risk Management

The mRisk software allows precise assessment of market risks using Monte Carlo simulation and full valuation. mRisk offers advanced and easy solutions for monitoring and controlling market risks for risk control, front office and for the general management. Solutions can also be used for regulatory reporting purposes, like analysing impacts of yield curve changes.

Key Features

Covers all risk classes

• Stocks, indices and currencies
• Yield, credit and commodity curves
• Implied volatility surfaces

Customizable and transparent

• Full control of the model estimation
• Support for multiple fully customizable portfolio structures
• Comprehensive data, estimation and simulation reports

Fast full valuation Monte Carlo calculation engine

• Can handle hundreds of thousands instruments running ten thousand simulations in a single desktop computer
• Supports parallel computing

Scenario and sensitivity analyses

• Fully customizable market scenarios
• Automatic numerical sensitivity calculation

Easy to use and integrate

• Interactive GUI for analyzing results
• Automatic report generation
• Open SQL Server database