GTRA automatically collects trade data on derivative deals reported in US SDRs and stores them into a unique database in a standard format after:
so that they are easy to retrieve and use for analsyis and reporting.
The European Banking Authority (EBA), periodically, requires major banks to carry out a stress testing exercise to review the capability of the financial system to withstand adverse scenarios. The FM Stress Tester reflects the exercise precisely by:
Beside the Stress Testing exercize, with its functionalities, the tool supports a number of activities, specifically it can be used:
The generator of risk parameters, G-RiskPar, provides all the inputs necessary to comply with the new accounting requirements, know as IFRS 9. It produces specific PD term structures, on the basis of given macroeconomic scenarios, required to calculate the lifetime expected loss of any credit exposure.
The service is based on nearly 2.000 models built on national default data and detailed by counterparty type, geografical area and economic sector.
As input the service takes one or more economic scenarios defined by the bank, through a number of macroeconomic variables.
The output is formed by term a structure of risk parameter for an extended period of time (15-20 years) for any scenario provided.
The Sight Deposit tool identifies how the evolution of deposit volumes, and of deposit rates, is linked to risk factors. The dynamics of risk factors are also modelled so that, by simulating their future evolution up to a given predefined time (cut-off horizon), it is possible to derive the implied dynamics of the deposits and of the interest rate paid on them, and the risk metrics related to liquidity and interest rates.
The approach used is based on the idea that volume trends depends on stochastic risk factors. These dependencies are used to project the future evolution of the deposits.
the model simulates: