The Kalypto Market Risk Module (KMRM) solution offers advanced risk metrics capabilities, providing an integrated view of various risks and enabling banks and financial institutions to effectively measure and manage market risk across different levels.

Key Features

Centralized Data Structure

The solution utilizes a centralized data architecture specifically designed for financial institutions. This centralized structure allows for reliable data management and includes features such as:

  • Holding all required data for integrated risk and finance, including market, contract, and reference data.
  • Supporting multi-entity and multi-currency setups.
  • Providing full data level access control to segregate roles and responsibilities.
  • Offering access adjustments with pre-filled corrections under strict control.
  • Enabling transparent process tracing.
Flexible Product Modelling

Kalypto Market Risk Module (KMRM) enables correct product valuation, cash flow generation, and forecasting through flexible product modelling capabilities, including:

  • Assigning contracts to specific contract types to drive product modelling.
  • Comprehensive product coverage ranging from plain vanilla to exotic.
  • Supporting multiple valuation techniques such as discounted cash flow model, capital asset pricing model, and various others.
Advanced Risk Metrics

The solution's core risk analysis capabilities compute relevant metrics using state-of-the-art techniques, including:

  • Value and exposure calculations (e.g., Fair value, NPV, nominal, observed market value).
  • Key rate duration, convexity, and Greeks.
  • Sensitivity measures and gap analysis.
  • Price and volatility shift analysis for analysing the effect of price/volatility shifts on income and value.
  • Fund transfer pricing (FTP) rates and profitability measures.
  • Dynamic simulation and forecasting.
  • Market value of counterparty credit risk (CVA) supporting Basel III compliance.
  • P&L volatility and explanation by risk factors.
Advanced Risk Analysis

Kalypto Market Risk Module (KMRM) offers a wide range of modern risk analysis techniques out of the box, including:

  • Full revaluation VaR model.
  • Historical VaR.
  • Monte Carlo VaR.
  • Integrated VaR combining credit and market risk.
  • VaR backtesting and decomposition by risk groups.
  • Incremental and component VaR analysis.

These advanced features empower banks and financial institutions to effectively manage market risk, comply with regulatory requirements, and make informed decisions to optimize performance and mitigate risks.