Market Risk & Stress Testing
Reval puts you in the driver’s seat when measuring your derivative risk profiles. Reval allows you to quickly estimate the present value impact of a one basis point move (PV01) along the yield curve for each of the trades in your portfolio. Specific analytical reports for derivative risk management include:
- Market risk report
Quantify your exposure to interest rate moves and spreads components of a standard yield curve. Risk calculations include modified duration, PV01, swap equivalent hedges, and parallel shift measurements.
- Benchmark vs. Actual Market risk report
Use PV01 to compare a benchmark portfolio with an actual trade portfolio.
For stress testing, Reval lets you create scenarios to gauge the effect of market fluctuations in interest rates, currency rates, commodity prices, and volatilities on your derivatives portfolio. Stress testing scenarios can include:
- Up and down parallel shift testing
- Curve tilts
- Curve twists
- Combinations
Exposure & Limit Tracking
Reval’s Exposures and Risk Limits Tracking helps you improve your ability to manage your global treasury and credit risk. Using Reval you can easily:
- Track counterparty risk and assign limits to counterparties, either by rating or client.
- Calculate accurate market values for outstanding trades by counterparty.
- Establish netting rules to determine limit utilization.
- Determine when any counterparty approaches or has exceeded a pre-set limit.
- Establish and monitor hedge limits and cover levels.
- Forecast P&L, interest income/expense and cash flow by time horizon.
- Calculate position, duration, Greeks, and various other risk statistics.
Operational Risk & Audit Controls
Reval assists clients in their derivative risk management efforts to comply with risk and
control requirements, such as Sarbanes-Oxley. Specifically, Reval provides the following tools:
- Workflow Manager for completing internal approvals and authorizations.
- User security roles & rights for segregating duties and limiting user access to user functions.
- Data access rights to limit access to specific data.
- Audit reporting to track and report on changes to any of the above items.
