Products
TIBS Risk Management - Market Risk Engine
TIBS Market Risk Engine (MRE) is one of the three Risk Engines of TIBS Risk Management. TIBS MRE supports the measurement, management and monitoring of market risk that generated from the market movement of Interest Rate, Foreign Exchange, Equity Prices, and Commodity Prices.
TIBS MRE supports estimation of market risk that comes from simple single product to structured portfolio. VaR analysis (Parametric, Historical Simulation, and Monte Carlo Simulation) and advanced VaR analysis, such as Marginal VaR and Incremental VaR, as well as capital adequacy calculation according to the Basel II requirements, are supported in TIBS MRE. TIBS MRE also provides Synthetic Portfolio Construction for users to support risk forecasting.
- Synthetic portfolio construction
- VaR analysis
- Capital adequacy calculation
- Financial modeling
- Drill-down and aggregation