Market risk

Market Risk Module 3.0 calculates capital charge with respect to Standardized Method and Internal Models Method. Both methods are fully compliant with Basel III regulations. Capital charges are calculated for the foreign-exchange risk, traded debt instruments risk (both general and specific risk are included), equities position risk (both general and specific risk are included), commodities risk and options risk. Internal models are based on various methodologies for the VaR and ES calculations. VaR is calculated using the historical simulation, analytical methods, and Monte Carlo simulations. Analytical VaR is accompanied with the VaR tools used in the investment management: marginal, component, and incremental VaR.

Market Risk Module also covers Value-at-Risk-based calculations and methodologies related to Internal Models Method (IMM) of Basel framework. The Module can support a broad range of approaches and model families, including parametric approaches (EWMA, univariate and orthogonal GARCH-type models), non-parametric approaches (ordinary and weighted historical simulation), and numerical approaches (Monte Carlo simulation).

Additional set of tools includes time series of volatility forecasts, calculations of marginal, incremental and component VaR, assessment of term structure of interest rates (using Nelson-Siegel functional, Svensson functional, and splines) and sensitivity analysis (duration, modified duration, Fisher-Weil duration, convexity, linear dispersion, quadratic dispersion and basis point value).