Fixed Income Risk Management

RiskVal Fixed Income system is a multi-currency platform which covers fixed income products for more than 30 countries.  RiskVal provides industry standard Basel II compliance Value-at-Risk (VaR) for complex fixed income portfolios and structured derivative product portfolios to meet regulatory requirements. While there is no doubt that VaR is a useful generic measure of risk exposure, it is known that VaR does not capture many of the true risk exposures, due to many of the implementation assumptions in VaR.  Therefore,  the need for a set of risk management protocols and tools has never been more pressing to achieve the ultimate goal of creating risk transparency. 

In order to accomplish better risk management, obviously we need a flexible portfolio aggregation and management framework such that the risk numbers can be aggregated based on the specific requirements. RVFI offers multiple layers of portfolio aggregation such as book, strategy, sub-strategy, trader, currency, and product type. Along with RVFI’s user friendly portfolio management front-end application, risk management navigation becomes easy and intuitive.

RVFI provides the below advanced features to compensate for the limitations of traditional VaR risk management:

  • Flexible portfolio aggregation by book, trader, strategy, sub-strategy, and product.
  • Configurable bucket risk analysis by book, trader, strategy, sub-strategy, and product.
  • Bucket risks by book, trader, strategy, sub-strategy, and product.
  • Scenario analysis by book, trader, strategy, sub-strategy, and product.
  • Live P/L and P/L break-down analysis
  • Limit controls on loss and risk book and trader level
  • Cash flow management

The above advanced features are all embedded in the RiskVal portfolio management module. RVFI is based on a flexible aggregation and drill-down framework, and integrated with live market data to enable real-time risk measures and P/L monitoring.  This dramatically increases the efficiency and stability of the risk management function.