A mobile app solution, in conjunction with the internal use web app, providing risk management tools for the management and control of Market Risk and Liquidity Risk for Bank DKI.
Instruments covered:
- Money Markets
- Foreign Exchange
- Fixed Income Securities
- Interest Rate Swaps
- Cross Currency Swaps
- FX Options (vanilla, digital, single barrier, double barrier, single binary touch and double binary touch options)
Main features:
- View 2D and 3D price chart
- View 2D and 3D price return chart
- View 2D and 3D volatility chart using Exponentially Weighted Moving Average (EWMA)
- Monitor portfolio market values, volatilities and VaR figures instantly
- Calculate Market Value at Risk (VaR) and Expected Shortfall using Variance Covariance Method (VCM)
- Calculate Liquidity-Adjusted Value at Risk (VaR) and Expected Shortfall based on bid-offer spread using VCM
- Calculate capital charge for market risk
- Perform Backtest using Basel approach, Kupiec Test, Independence Test (Christofferson Test and Haas Test) and Joint Test (Conditional Coverage and Mixed Kupiec Test)
- Perform Stress Testing based on interest rate and foreign exchange rate scenarios
- Live Currency Rates & Gold Price
- Real-Time Global News
Value-at-Risk (VaR) is a statistical technique used to measure and quantify the level of financial risk within a firm or investment portfolio over a specific time frame. It estimates how much a set of investments might lose, given normal market conditions, in a set time period such as a day. VaR is measured in three variables: the amount of potential loss, the probability of that amount of loss, and the time frame and typically used by firms and regulators in the financial industry to gauge the amount of assets needed to cover possible losses.
Expected Shortfall is an alternative to Value-at-Risk that is more sensitive to the shape of the tail of the loss distribution. Expected Shortfall is also called Conditional Value-at-Risk (CVaR), Average Value-at-Risk (AVaR), and expected Tail Loss (ETL).
By Liila Tech (Mobile Apps PT VaRiskindo)
Email: [email protected]
Web: https://variskindo.xyz
Web: http://liila.xyz