FTP, Capital Calculation, Limits, Performance

The core of these applications is the "intelligent" historization of riskpro™. It allows to store all calculated results and values from npvs to greeks in the riskpro™ global analysis database (GADB). Storage of results takes place on the single contract level and on a daily cycle. This is the basis for back testing, limits, capital allocation, economic capital calculation and performance analysis based on user defined flexible structures. The framework covers also funds transfer pricing supporting nominal and NPV views. An overview of the implemented analysis methods is described below.

GADB Value, income, exposure and risk data storage

Allow to store daily up to 60 different risk and return values on the GADB such as NPV, nominal value, fair value, duration, convexity, option greeks, etc. This allows the analysis of the whole financial history of the total organization from the lowest level and builds the basis of all types of risk/return analysis.

Market prices storage

Allows loading and maintaining historical market prices on the GADB.

Risk adjusted performance analysis

Framework, which allows implementing on the GADB different customized performance ratio like RORAC, RAROC, RARORAC, etc. as well as Economic Capital.

FTP Rate assignment

Allows the assignment of FTP rates and different spreads to the individual contracts while loading them into riskpro™.

FTP Accrual

Calculation and storage of accrual based profitability at the single contract level. Furthermore, it is possible to define margin splits between funding and responsibility centers with implications on the balance sheet and P&L level.

FTP NPV

Same functionality as for FTP on an accrual basis but based on NPV calculation.

Treasury view

NPV calculation based on the cash flow generation produced by internal FPT rates instead of external ones.

Limits

Framework, which allows implementing customized limits like volumes, sensitivities, etc.

Instrument coverage

All above methods are applied consistently for any type of financial product/instruments from deposits to exotic options.

For more information about riskpro™ Financial Instruments and Product Coverage.

Special riskpro™ strengths

• All risk and return calculations happen not only on the same data but also based on the same algorithms thus granting the maximum possible consistency
• Full drill down capabilities
• All analysis happens on the smallest unit (contract) which can be rolled up to any level up to the total institution