VaR, expected shortfall and attribution.
Any desk, any filter, live.

Scenarios, live

Drill down to the underlying, in real time

VaR and expected shortfall by book, desk and underlying, each with its contribution, recomputed as you move through the hierarchy.

• Book, desk, underlying or any dimension
• Contribution to VaR and expected shortfall
• Live, not overnight

Request a demo

Curves and scenarios in one place

Zero curves by currency as of any market date, with the shock scenarios that apply to them, shared with pricing, capital and exposure.

• Any currency, any date
• Scenarios saved and reused
• Same data as every module

Integrations

Day on day, by asset class

Two close-of-business dates, side by side

VaR and expected shortfall grouped by asset class across two dates, with a currency filter; the history of any book sits above its drill-down.

• Which desk moved and why
• Same vectors as the attribution tests
• Export for the report

Request a demo

The history, then the drill-down

VaR over time for a selected book, with the sub-books underneath; a day that stands out is one click from its underlyings.

• Any book, any date range
• Drill-down below the chart

Request a demo

FRTB, both approaches

The standardised approach from the sensitivities: capital by desk and risk class, with the default risk charge and the residual risk add-on, recomputed as the book changes. The internal-model approach from the P&L vectors: expected shortfall aggregated across liquidity horizons, and the attribution tests at desk level.

FRTB applies in the EU from 2027, in the UK from 2027 for the standardised approaches and 2028 for internal models, and in the US on a date still to be set. Standardised-approach capital from the sensitivities, and desk-level expected shortfall and P&L attribution tests on the same vectors as VaR, on your own book.