Market Risk Systems features explained
for Risk Management
Solutions for measuring and managing risks from changes in market prices, interest rates, and volatility.
Every feature we track for Market Risk Systems products, with a description of what each one means.
Audit, Logging & Traceability
Ensures all actions, computations, and data changes are recorded for compliance and troubleshooting.
- Access Logging
- Every system access (login/logout) is logged for audit purposes.
- Automated Exception Logging
- Automatically records system- and calculation-level anomalies.
- Change Management Logging
- Records configuration and model parameter changes with timestamps.
- Comprehensive Audit Trails
- Detailed logs of all system activity, data manipulations, and user actions.
- Computation Traceability
- Ability to trace each output metric back to source data and calculation path.
- Data Change Alerts
- Proactive alerts if unexpected data changes are detected.
- External Audit Support
- Facilities to export audit logs for external audit review.
- Report Generation Logging
- Tracks who generated each report and when.
- Retention Policy Enforcement
- Automates log and data retention/deletion per policy.
- User Comment Logging
- Capability for users to annotate actions and outputs for later reference.
Data Management & Quality
Mechanisms that ensure clean, accurate, reliable, and readily accessible data underpinning risk calculations.
- Automated Data Quality Checks
- Predefined and custom rules to verify accuracy and consistency of data.
- Data Lineage Tracking
- Track the source, transformation, and movement of risk data across the system.
- Data Recovery Capabilities
- Ability to recover and restore data after corruption or loss.
- Data Versioning
- Ability to roll back to earlier versions of data sets.
- Master Data Management
- Central repository for key reference data (counterparty, instrument, etc.).
- User Data Override Logging
- Tracks manual changes made by users for compliance.
Deployment, Maintenance & Vendor Support
System operational features, deployment options, and available support from the vendor.
- 24/7 Vendor Support
- Around-the-clock support for incidents and queries.
- Automated Monitoring & Health Checks
- System self-monitoring and health status reporting.
- Cloud Deployment Option
- Availability of SaaS/cloud deployment as well as on-premise.
- Containerization Support
- System can be deployed using Docker, Kubernetes, or similar technologies.
- Dedicated Account Management
- Assigned client manager for support and escalation.
- On-Premise Deployment Option
- Option for complete deployment within client data center/environment.
- Regular Upgrades/Updates
- Frequency and ease of system version upgrades.
- Sandbox/Test Environment
- Ability to establish parallel non-production environments.
- Service Level Agreements (SLAs)
- Vendor provides measurable performance and uptime guarantees.
- Training and Knowledge Base
- Access to user training, manuals, and learning resources.
Integration and Interoperability
The system's ability to connect, exchange, and synchronize data and processes with other platforms.
- API Availability
- REST, SOAP, or other APIs for programmatic integration.
- Back Office System Integration
- Synchronization with settlement and accounting platforms.
- Batch File Import/Export
- Automated processing of bulk data through flat files.
- Custom Integration Scripting
- Facilities for scripting bespoke data flows or workflows.
- Data Mapping Tools
- Graphical interfaces to map and transform data formats.
- Front Office System Integration
- Connects with core trading and order management systems.
- Master Data Management Support
- Integration with MDM solutions for consistent enterprise data.
- Real-Time Messaging Support
- Integration with message buses (Kafka, MQ, etc.) for event-driven processes.
- RegTech Integration
- Seamless connection with regulatory technology vendors/platforms.
- Third-Party Plug-In Support
- Allows extension of system functionality via plug-ins.
Integration and Interoperability
Degree to which the system integrates with other internal and external systems in a financial institution.
- API Documentation Completeness
- Degree of coverage and clarity in the product's integration documentation.
- Core Banking System Integration
- Connect with core banking software for trade and position data.
- Data Import/Export
- Flexible import/export of data in multiple standard formats (CSV, XML, JSON, etc.).
- ERP/Accounting Integration
- Share risk data with enterprise resource planning (ERP) and accounting platforms.
- Message Bus/Queue Support
- Can receive and send messages via standard messaging middleware (e.g., Kafka, RabbitMQ).
- Regulatory Reporting Output
- Produce files and formats compliant with regulatory submissions.
- Third-Party Plug-in Support
- Platform allows extensions or plug-ins for new analytics.
Market Data Integration
The ability of the system to source, aggregate, and update market data required for risk calculations.
- Custom Data Sources
- Ability to import and work with proprietary or bespoke data feeds.
- Data Cleansing
- Automatically detects and rectifies anomalies or gaps in imported market data.
- Data Latency
- The delay between data origination and when it is available for risk calculations.
- Data Lineage and Audit
- Tracks origin and changes of all market data for audit and control purposes.
- Data Quality Metrics
- Tracks completeness and consistency metrics for market data.
- Data Refresh Frequency
- Interval at which the market data is updated.
- Historical Data Support
- Ability to access and utilize historical market data for backtesting and model validation.
- Real-Time Data Feeds
- Supports real-time streaming data from exchanges and data providers.
- Support for Multiple Currencies
- Handles data in various global currencies.
- Vendor Connectivity
- Out-of-the-box integration with leading market data vendors.
- Wide Asset Coverage
- Supports a diverse set of asset classes including equities, fixed income, FX, derivatives, and commodities.
Market Data Integration
Capabilities for acquiring, ingesting, cleansing, and managing financial market data from multiple sources, which forms the basis for calculating market risk.
- Automated Error Handling
- System automatically flags and manages data anomalies or failures.
- Custom Instrument Mapping
- Ability to map proprietary or custom instruments to market data feeds.
- Data Cleansing Tools
- Tools provided to clean, deduplicate, and correct inconsistent or missing market data.
- Data Encryption In Transit/At Rest
- Ensures all market data is encrypted for security purposes.
- Frequency of Data Updates
- How frequently the system updates market data.
- Historical Data Storage
- System's ability to store and retrieve historical market data.
- Latency in Data Processing
- Average system delay in processing and making data available.
- Market Data Audit Logs
- Ability to log and trace all data changes or feeds for compliance.
- Real-time Data Feed Support
- Ability to connect with real-time data feed providers for live market prices.
- Scalability for Data Volume
- Capability to handle increasing data volumes without performance loss.
- Support for Alternative Data
- Ability to ingest and process non-traditional market data (e.g., satellite, social media).
- Vendor Flexibility
- Number of different data vendors the system can connect to (e.g., Bloomberg, Reuters).
Model Risk Management
Capabilities for managing model lifecycle, validation, and ongoing performance monitoring.
- Automatic Alerting for Model Failures
- System-generated alerts for model breakdowns, errors, or threshold breaches.
- Independent Model Review Support
- Tools for supporting independent review and challenge.
- Model Documentation Repository
- Central storage for all model-related documents.
- Model Inventory
- Comprehensive register of all models in use and in development.
- Model Life Cycle Tracking
- Tracks model inception, approval, usage, and retirement/disposal.
- Ongoing Calibration Tools
- Built-in utilities for recalibrating and tuning model parameters.
- Override and Adjustment Logging
- Logs any manual overrides or judgements applied to model output.
- Performance Benchmarking
- Compares model outputs against benchmarks or alternatives.
- Validation Workflow
- Facilitates and enforces the workflow for periodic model validation.
- Version Control for Models
- Tracks version history of model implementations.
Performance & Scalability
The system's capability to handle high volumes, large data sets, and concurrent users efficiently.
- Batch Risk Processing Window
- Time required to process end-of-day or batch risk calculations.
- Concurrent User Support
- Maximum number of simultaneous users supported without degradation.
- Disaster Recovery Readiness
- Support for rapid recovery from catastrophic failures.
- Elastic Cloud Scaling
- Dynamic allocation of cloud resources based on load.
- Fault Tolerance
- System continues operation despite hardware/software failure.
- Horizontal Scalability
- Can be scaled out across multiple servers or cloud nodes.
- Load Balancing
- Distributes workloads as needed for optimal resource usage.
- Low Latency User Response
- Average latency for user queries or dashboard interactions.
- Peak Data Volume Handling
- Maximum data volume that can be handled without system outage.
- Throughput
- Number of risk computations or transactions the system can process per unit time.
Performance and Scalability
The extent to which the system can handle large volumes of transactions and users, and its ability to maintain performance as scale increases.
- Batch Processing Speed
- Throughput of batch risk calculations.
- Cloud Deployment Support
- Whether the system can be deployed in a cloud environment.
- Concurrent User Support
- Number of users who can use the system without performance issues.
- Disaster Recovery
- Ability to recover operations quickly after a failure.
- High Availability
- Supports clustering, failover, or redundancy for uptime.
- Horizontal Scalability
- Ability to add hardware to increase system capacity.
- Load Balancing
- Distributes workloads evenly across computing resources.
- Parallel Processing
- System can distribute risk calculations across multiple CPUs/cores.
Product Coverage
Scope of financial products and instruments that the system can model and risk-manage.
- Commodities
- Handles commodities and their derivatives (options, futures, swaps).
- Credit Derivatives
- Support for CDS, CDO, CLN, etc.
- ETFs and Index Products
- Coverage of ETFs, index options/futures, and related instruments.
- Equities
- Support for equity shares and equity derivatives.
- Exotic Instruments
- Models complex, path-dependent, or non-standard products.
- Fixed Income
- Supports government, corporate bonds, and fixed income derivatives.
- Foreign Exchange (FX)
- Supports spot, forwards, options, and FX derivatives.
- Interest Rate Derivatives
- Supports swaps, caps/floors, and other IR derivatives.
- Securitized Products
- Covers ABS, MBS, CMOs, and other securitized assets.
- Structured Products
- Able to model and risk-manage bespoke structured products.
Product Coverage
Breadth of financial instruments and asset classes the system can manage for risk calculations.
- Asset Class Coverage
- Number of different asset classes supported (equities, FX, fixed income, commodities, derivatives, etc.).
- Cross-Asset Risk Calculation
- Can calculate risk for portfolios with mixed asset types.
- Custom Instrument Modeling
- Able to define and integrate models for custom or new instruments.
- Exotic Derivatives Support
- Ability to handle complex and bespoke financial instruments.
- Instrument Template Library
- Library of pre-built templates for standard instruments.
- Market Conventions Flexibility
- Customize market conventions (day count, roll dates, etc.) for different markets.
- Structured Product Modeling
- Support for risk assessment of structured and hybrid products.
Regulatory Compliance
Capabilities ensuring the system meets global regulatory requirements and reporting standards.
- Audit Logging
- Logs all access and changes for audit and compliance tracking.
- BCBS239 Compliance
- Supports principles for risk data aggregation and reporting.
- Basel III/IV Compliance
- Pre-built modules for regulatory calculation and reporting.
- Custom Regulatory Templates
- Configuration of new regulatory report templates as needed.
- Data Retention Policy Management
- Tools for enforcing and modifying data retention schedules.
- Model Governance & Documentation
- Stores model documentation, approvals, and ongoing validation results.
- Permissions for Regulator Access
- Ability to grant regulators direct or read-only system access.
- Regulatory Change Updates
- System is updated to reflect changes in major regulations.
- Regulatory Report Generation
- Automated templates for regulatory submissions (e.g., COREP, FR Y-14).
- Regulatory Validation Tools
- Built-in utilities to validate and check reports for regulatory accuracy.
Regulatory Compliance
System's support for evolving global and local financial regulations, and its facilitation of regulatory reporting and audit trails.
- Audit Trail Completeness
- All actions and changes logged for audit purposes.
- Basel III Compliance
- Features tailored to Basel III risk management and reporting requirements.
- Compliance Update Frequency
- How often the product's compliance libraries are updated to reflect new regulations.
- Data Retention Policy Configuration
- Ability to configure how long sensitive data is stored to meet jurisdictional requirements.
- FRTB (Fundamental Review of the Trading Book) Capability
- Support for FRTB requirements regarding the distinction between banking and trading book risks.
- Reporting Templates for Regulators
- Pre-built templates for regulatory risk reporting (e.g., COREP, Dodd-Frank).
Risk Calculation & Analytics
Functions for computing risk metrics such as Value-at-Risk (VaR), Expected Shortfall, sensitivities (Greeks), and stress test results.
- Aggregation of Risk Results
- Ability to consolidate risk metrics across multiple portfolios or entities.
- Backtesting Tools
- Support for backtesting risk models against historical data.
- Calculation Speed
- Time taken to perform full risk calculations on a production-size portfolio.
- Customizable Risk Metrics
- Define and calculate custom risk metrics as per business needs.
- Expected Shortfall
- Capability to calculate and report Expected Shortfall (ES or CVaR) as per regulatory requirements.
- Intraday Calculation Support
- Run full or incremental portfolio risk calculations multiple times a day.
- Model Risk Management
- Tools for model validation, calibration, and version control.
- Multi-Currency Capabilities
- Handle risk computations across portfolios denominated in different currencies.
- Risk Sensitivities (Greeks)
- Computation of sensitivities such as delta, gamma, vega, rho, theta.
- Scenario Analysis
- Ability to define, run, and analyze results from hypothetical scenarios.
- Stress Testing Framework
- Comprehensive system to create and execute stress test scenarios on portfolios.
- Value-at-Risk (VaR) Calculation
- Support for different VaR methodologies (historical, parametric, Monte Carlo).
Risk Calculation Engine
Core computational module for conducting risk analysis using various quantitative models.
- Backtesting Functionality
- Built-in functionality to backtest risk model performance against actual outcomes.
- Calculation Parallelization
- Supports distributed or parallel risk computation.
- Correlation Handling
- Ability to model and utilize asset correlations in risk calculations.
- Custom Model Integration
- Allows for integration of user-developed risk models.
- Expected Shortfall (ES)
- Supports calculation of Expected Shortfall for advanced risk analytics.
- Monte Carlo Simulation Capability
- Ability to run large-scale Monte Carlo risk simulations.
- Non-linear Instruments Support
- Handles exotics and path-dependent instruments (e.g., options, swaps).
- Revaluation Performance
- Number of positions/instruments processed per second.
- Risk Aggregation
- Aggregates risk across asset, business line, and geographical hierarchies.
- Risk Factor Sensitivities (Greeks)
- Calculates sensitivities including delta, gamma, vega, rho, and theta.
- Stress Testing
- Scenario and historical stress test capabilities.
- Value-at-Risk (VaR) Calculation
- Built-in models for calculating portfolio and asset VaR.
Security
Controls to protect sensitive data and comply with legal and organizational security policies.
- Automated Intrusion Detection
- Monitors for suspicious activity automatically.
- Compliance Certification
- Adheres to security standards like ISO 27001, SOC 2.
- Data Encryption at Rest
- Risk data is encrypted while stored.
- Data Encryption in Transit
- Risk data is encrypted when sent across networks.
- Granular Permission Management
- Fine-grained control of user actions (read, write, export, etc.).
- Two-Factor Authentication
- Requires multiple credentials for user login.
- User Access Logging
- Tracks who accessed which data and operations.
Security and Access Control
Measures to protect sensitive data and ensure appropriate user access.
- Audit Trails
- Comprehensive logging of user activities and data access.
- Custom Access Policies
- Configuration of organization-specific combinations of roles and permissions.
- Data Encryption At Rest
- Stores data encrypted on disk/database.
- Data Encryption In-Transit
- Encrypts data as it travels across the network.
- Fine-Grained Data Access
- Granular control over data visibility at user or group level.
- Multi-Factor Authentication
- Requires more than one authentication method for access.
- Penetration Testing Support
- System is regularly tested for vulnerabilities.
- Regular Security Patching
- System receives and applies timely security updates.
- Role-Based Access Control
- User permissions based on roles and responsibilities.
- Single Sign-On Integration
- Integration with SSO frameworks (e.g., SAML, OAuth).
Support, Maintenance, and SLAs
The product's capabilities for ongoing support, response time, and service guarantees.
- 24/7 Support Availability
- Round-the-clock technical and operational support.
- Online Knowledge Base
- Self-service documentation, FAQs, and troubleshooting guides.
- Release Frequency
- Frequency and regularity of maintenance releases and patches.
- Service Level Agreement (SLA) Uptime
- Guaranteed system availability percentage as per SLA.
- Upgrade Automation
- Automated process to apply updates and upgrades.
User Interface and Reporting
How users interact with the system and consume its outputs through dashboards, reports, and visualization tools.
- APIs for Reporting
- APIs available to pull risk results into external systems.
- Ad-Hoc Reporting
- Capability for users to build custom queries and reports on demand.
- Alerting and Notifications
- Notifies users when risk limits are breached.
- Customizable Dashboards
- Users can tailor dashboards to display relevant risk metrics.
- Data Export Functions
- Export results to Excel, PDF, CSV, or BI tools.
- Interactive Visualization
- Enables dynamic charting and drill-downs into risk data.
- Multi-Language Support
- UI available in multiple languages.
- Role-Based Views
- User roles govern data visibility and interface features.
- Scheduled Reporting
- Supports automated generation and distribution of regular risk reports.
- Web-Based Access
- Accessible via browser-based GUI for remote users.
User Interface and Usability
Features related to the system's ease of use, customization, and interaction methods.
- API Access
- Expose risk outputs and analytics via standard APIs.
- Accessibility Compliance
- UI conforms to accessibility standards (e.g., WCAG).
- Customizable Reporting
- Create and export custom reports with desired metrics.
- Dashboard and Visualization Tools
- Interactive dashboards for visualizing risk data and trends.
- Localization/Internationalization
- Supports multiple languages and regional formats.
- Real-Time Alerts and Notifications
- Notify users of breaches, errors, or important risk events instantly.
- Role-Based Access Controls
- Specify what information and functionality each user can access.
- Web-based UI
- Access risk analytics via a browser-based interface.