Product brief
Norma Market Risk product brief
Full-portfolio VaR and expected shortfall re-aggregated in real time on tens of millions of transactions, drilldown on any desk, dimension or filter, FRTB standardised-approach capital from the sensitivities, internal-model aggregation and attribution tests on the same run, on the P&L vectors your engine produces. No overnight batch.
Product brief, 2 pages, PDF. Sent on request, to a company email.
What it covers
- Full-portfolio VaR re-aggregated in real time on tens of millions of transactions
- Drilldown on any desk, dimension or filter
- Expected shortfall, FRTB internal-model aggregation and attribution tests on the same run
- FRTB standardised-approach capital by desk and risk class, from the sensitivities
