RC-Market Risk Model
Value at Risk across five market risk types
The problem
Market risk figures are only as good as the valuation and sensitivities behind them. When a stress-testing model and a standalone market risk calculation each price instruments their own way, the two give different numbers for the same portfolio. RC-Market Risk Model keeps valuation, sensitivities and VaR in one engine, so RC-Stress Testing System and standalone runs use the same maths, and every result states the confidence level and holding period it was calculated with.
What it does
RC-Market Risk Model values a portfolio of market exposures and calculates parametric Value at Risk for interest rate, credit spread, FX, equity and commodity risk. It is the market risk engine inside RC-Stress Testing System and can also run on its own from Excel workbooks.
Who uses it
Market risk teams, Stress-testing and capital planning teams using RC-Stress Testing System
What’s inside
- Fixed-rate, floating-rate, FX, equity and commodity exposures
- Fixed-rate bonds and floating-rate notes valued on interpolated yield curves
- Partial PV01s by shifting each curve node
- Amounts converted to a base currency with the FX rates supplied
- Gaussian Value at Risk for each risk type
- Covariance estimated from history: differences for rates and spreads, relative changes for FX, equity and commodity
- Missing risk factors in the market data are named, not silently ignored
- Exposure and parameter workbooks read and validated, with a message for each problem
- Results by business group, with the base-currency amount per exposure class
- Each rate exposure's value and node sensitivities reported
- Portfolios, market data and calculation runs stored, including failed runs and their messages
- Results as JSON or an Excel workbook
What changes for your risk team
- One valuation engine for stress testing and standalone market risk, so the numbers agree
- Every VaR is reported with the confidence level and holding period behind it
- Works from the Excel workbooks teams already prepare for stress testing
- Each organisation's data kept separate in the database
How it feeds the rest of the suite
- RC-Stress Testing System: runs the engine in-process for each period and group of its scenarios, using its valuation and VaR
See RC-Market Risk Model on your own data
A demo takes an hour. A pilot on your portfolio takes weeks, not quarters.