Current solutions’ portfolio
GTRA automatically collects trade data on derivative deals reported in US SDRs and stores them into a unique database in a standard format after:
- fixing the most common, errors after checking the contract type, terms features and index.
- clustering the information by asset and deal type.
so that they are easy to retrieve and use for analsyis and reporting.
- Time series can be extracted by means of several filters and selection criteria.
- All the details of the deals are retrievable.
- Several analysis available.
- Results can be exported in Excel
- Reports can be created and run on scheduled time.
- A powerful DB enquiry tool is embedded within the GTRA to create very detailed reports
FM stress tester
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:
- taking the macroeconomic scenarios and assumptions on Balance Sheet items, provided by the Supervision Authority, directly as input
- supporting the simulations of all regulatory and managerial key variables, with customized satellite models, allowing to compare the output of the different scenarios considered
- displaying the simulation results in reports with the same format required by the Supervision Authority and exporting them to Excell spreadsheet to facilitate the discussion
Beside the Stress Testing exercize, with its functionalities, the tool supports a number of activities, specifically it can be used:
- to effectively organize risk and balance sheet data, combining them with the economic scenarios in different versions of the DB
- to accurately elaborate scenarios and quickly project their effects on economic and risk variables
- to leverage on the variables and outcomes of simulated scenarios to support strategic planning and ICAAP
G-RiskPar (IFRS 9)
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.
- validated as models are developed with certified public data
- auditable as it is developed with the BACE methodology proposed by the ECB and provides full disclosures with technical documentations and detailing data sources
- repeatable as anyone can reproduce the risk data stream by following the same steps documented on the specified dataset
- fully supported since Iason provides complete assistance, both in the initial setup phase as well as in following customizations if requested
Input / Output
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.
Non maturing deposit management
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:
- performance of the deposits
- sensitivity for the purpose of hedging
- liquidity part to finance the activities
- duration of the liability associated to the sight deposits
- weighted average life
- optionality (floor sold to the depositors)
- term structure of liquidity
- term structure of funding spread
- strategies to allocate liquidity