Advanced Risk Management

With multiple Value at Risk models, full explanation of day over day valuation changes, and user defined 'What if' scenarios, EnCompass' Advanced Risk Management provides a comprehensive toolset for understanding your book's potential exposures.

  • Three built in Value at Risk models (Historical, Parametric and Analytical Value at Risk) with system generation of volatilities and correlations
  • Fully decomposed explanation of daily mark-to-market changes - no more tedious ad hoc analysis required to determine how much of the change was due to interest rates, forward curve movement, deal edits, volatility changes, FX change etc.
  • Full back testing functionality.
  • An unlimited number of 'What if' scenarios can be defined to supplement understanding of possible exposures.
  • All calculations are performed at the deal level, allowing decomposition of valuation results to their lowest level of detail through EnCompass' extensive reporting features.
  • FX exposure calculated and reported on financial and commodity transactions.
  • Flexible and independent engines allow for multiple risk methodologies