riskpro™ covers IFRS IAS 39 and 32 requirements through the consistent fair value valuation and amortized cost, hedge accounting and optimization, etc., as well as the ability to generate corresponding entries for the general ledger. It can be used independently as dedicated solution or in combination with other riskpro™ analysis methods. The implemented analysis methods are described below.
This includes the possibility to value under the new book keeping rules. In addition ex-post effectiveness test using the reporting functionality of riskpro™ is possible.
Allows matching any portfolio of hedged items and hedges for a hedge relation. It is based on a dynamic simulation either of the forecasted net present value or the forecasted cash flows, which are then sent to an external optimization tool where the user defines the optimization parameters. For this the third party tool LINGO is used.
Allows to query the historized results of riskpro™ and to produce booking entries. It is a basic framework for defining book entries to the general ledger. It allows defining business cases (e.g. initial recognition, impairment, hedge accounting etc.) via user defined selection criteria. Likewise the credit and debit accounts and the value to be booked can be defined via selection criteria.
Allows to build lists of contract properties using the reporting functionality of riskpro™ and to test hedge relations with the ex-ante effectiveness test (e.g. dollar off-set or regression analysis) based on the riskpro™ simulation capability and to store the hedge relation.
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.
Contact us for further questions:
IRIS integrated risk management - Bederstrasse 1 - P.O. Box - CH-8027 Zurich
Phone: +41 (0)44 388 59 59
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