Integrated Credit, Market and Liquidity Risk Management
Resulting from years of collaborative development efforts between Razor Risk Technologies and the financial community, Razor offers the unique ability to measure, monitor and control market, credit and liquidity risk in a real-time manner using some of the most sophisticated analytical tools.
Razor is truly a scalable enterprise risk solution that measures and manages market, credit and liquidity risk consistently across the banking and trading books. Razor Risk Technologies' solutions provide consistent, verifiable measurement of an institution's aggregate risk by linking disparate forms of exposures across multiple business lines, portfolios and products. Furthermore, Razor provides multi-level decision support for executive, front-, middle- and back-office users.
Razor defines risk factor scenarios to compute future distributions of value. Because individual risk factors can evolve jointly (and arbitrarily) over time, Razor allows users to capture the relationships between disparate sources of market, credit and liquidity risk, over multiple time steps. For example, many well-known financial disasters, including recent corporate failures, occurred precisely because of the high correlation between market, credit and liquidity risk in stress periods. Such occurrences are naturally modeled through scenarios where adverse changes in market conditions trigger adverse changes in credit quality. With Razor all different types of risk, based upon the appetite of the firm, are integrated within a common framework using consistent, modeled and calibrated data across the investment universe.
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Resources
White Paper: Achieving Accurate Value at Risk (VaR) Calculations
This paper examines the reasons behind the perceived failure of risk management up to and during the economic downturn. It also outlines how VaR can be a highly accurate measure if it can measure and factor in dynamic changes in the underlying portfolio holdings, ensuring that ‘non-normal’ events and cyclical macro-economic issues are taken into account.
White Paper: Liquidity Risk Management
This paper explains the level of detail, frequency and stress testing requirements of the new FSA liquidity risk regulations. It suggests that the short implementation timetable for the regulations argues against in-house development, and provides an overview of Razor’s capabilities for meeting the new reporting regime and achieving best practice liquidity risk management, including a data framework, a scenario and stress testing engine, and an analysis and reporting module.