at Financial Technnology Year
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Features in Market Risk Systems
for Risk Management
Software for measuring market exposure through VaR (Value at Risk), stress testing, and scenario analysis across diverse market conditions and asset classes.
We ask vendors to mark their product against our feature list. It is not available for all products and in some cases we have derived data from publicly available sources. The list of features follows. Vendors can add a further 10 key features of their own.
Asset Coverage
Comprehensive support for diverse asset classes and complex instruments.
- Asset Class Extensibility
- Support for user/administrator-driven addition of new instruments.
- Commodities
- Supports commodity spot, forwards, future contracts and options.
- Complex Derivatives
- Covers exotic options, swaps, and other non-vanilla derivatives.
- Crypto & Digital Assets
- Capability to assess risk on digital tokens and crypto derivatives.
- FX Products
- Handles spot, forward, and options in foreign exchange trading.
- Fixed Income Instruments
- Coverage for government, corporate, municipal bonds and their derivatives.
- Listed Equities
- Direct support for global equities and related derivatives.
- Number of Asset Classes
- Total number of distinct asset classes covered.
- Private Assets
- Integration of private placements, PE, VC positions if relevant.
- Structured Products
- Ability to analyze custom and structured notes, CLNs, etc.
Governance & Audit
Features supporting compliance, regulatory reporting, auditability, and risk governance.
- Change Management Logging
- Full record of changes to risk models, parameters, and hierarchy.
- Complete Audit Trails
- Logs all key events, calculations, and user actions within the system.
- Configurable Approval Workflows
- Custom workflows for approving risk limits or overrides.
- E-Signature Integration
- Supports regulatory or audit e-signature approval for key risk or limit changes.
- Historical Snapshots
- Ability to retrieve full risk and exposure reports from any past date.
- Model Governance & Validation
- Tools for model validation, governance reporting, and sign-off workflows.
- Permissions Audit Reports
- Generate reports detailing user access and permission changes.
- Regulatory Compliance Checks
- Automated validation against regulatory rules or internal guidelines.
- Risk Limit Monitoring
- Configurable limits with real-time alerts/breach notifications.
- Role Segregation Enforcement
- Separation of duties and enforced workflow for key governance steps.
Integration & APIs
Capabilities for integrating with upstream and downstream systems, and supporting automation.
- Authentication Integration
- Single-sign-on (SSO) integration with directory services (LDAP, Active Directory).
- Batch File Interfaces
- Process bulk data loads or exports via flat files (CSV, XML, JSON).
- Custom Adapter Toolkit
- APIs or SDKs for building connectors to proprietary or legacy systems.
- Data Mapping and Transformation Tools
- Flexible engine for mapping and transforming inbound/outbound data formats.
- Event-driven Hooks
- Automated workflows and responses triggered by system events or external calls.
- Open APIs
- RESTful or SOAP APIs available for inbound/outbound data and process integration.
- Real-time Messaging Interfaces
- Supports real-time streaming integration via message buses (e.g., Kafka, RabbitMQ).
- Risk Data Push/Pull
- Can proactively push or allow pulling of results for external systems (PMS, CRM, custom analytics).
- Third-party Analytics Integration
- Plugin or interface for advanced analytics tools (e.g., MATLAB, R, Python).
- Trading Platform Connectivity
- Out-of-the-box links to major trading and order management systems.
Market Data Integration
Facilitates seamless ingestion and processing of real-time and historical market data from multiple sources for accurate risk assessment.
- Data Cleansing Capabilities
- Systematically corrects and fills gaps in market data for improved reliability.
- Data Storage Capacity
- The maximum volume of historical market data the system can store and process.
- Event-based Data Triggers
- Ability to process data update triggers based on market events (e.g., circuit breakers, corporate actions).
- Historical Data Support
- Enables handling of large volumes of historical data for backtesting and scenario construction.
- Latency
- The time taken to update the system with new data.
- Market Specific Data Parsing
- Recognizes and appropriately parses data from asset class-specific feeds (FX, rates, equities, commodities).
- Multiple Data Source Integration
- Allows integration with various market data providers (e.g., Bloomberg, Reuters, ICE, proprietary).
- Normalization Engine
- Ensures all data inputs are standardized for downstream analytics.
- Real-Time Data Feeds
- Supports automated, real-time streaming of prices and quotes from exchanges and OTC sources.
- Reference Data Management
- Supports mapping and enrichment of assets with reference and master data (e.g., ISIN, CUSIP, sector).
Model Management & Validation
Features for managing, validating, and documenting all risk models in the system.
- Independent Model Review Support
- Enables external or independent model validators to access models securely.
- Model Approval Recording
- Logs dates and sign-offs for all major model changes.
- Model Decommissioning Tools
- Formal process and workflows for retiring obsolete models.
- Model Documentation
- Attach supporting documentation for each model in use.
- Model Performance Reporting
- Automatic reports on model accuracy and predictive power.
- Model Validation Workflow
- Formal workflow for model validation, sign-off, and periodic review.
- Model Versioning
- Tracks all versions of risk models, with rollback capability.
- Number of Models under Management
- The total number of risk models the system can version and track.
- Out-of-sample Testing
- Support for model validation using out-of-sample data.
- Parameter Sensitivity Analysis
- Tools for analyzing model behavior as parameters change.
Performance & Scalability
Ensures robust computation and system capabilities for large and complex portfolios.
- Batch Processing Capabilities
- Allows overnight or scheduled risk computations for all portfolios.
- Cloud-native Capabilities
- Optimized for deployment and scaling in cloud environments.
- Computation Time per VaR Run
- Average time needed to compute VaR for a given portfolio.
- Concurrent Users
- Maximum number of users who can access/run risk calculations simultaneously.
- Data Archiving & Retention
- Automatic archiving of risk results and source data.
- Failover and Redundancy
- Systems are designed with redundancy for high-availability and disaster recovery.
- Horizontal Scalability
- System can scale across multiple servers or cloud instances as load increases.
- Parallel Computation Support
- Leverages multi-threading and distributed computing for large-scale calculations.
- Resource Utilization Monitoring
- Tracks CPU/memory/network resource usage during calculations.
- Transactional Data Throughput
- Volume of position/trade updates processed per second.
Portfolio Aggregation and Hierarchy
Advanced portfolio management capabilities ensuring accurate risk at all levels (position, account, firm).
- Cross-Currency Consolidation
- Automated FX conversion and reporting currency selection for all holdings.
- Dynamic Hierarchy Management
- Allows dynamic creation/modification of portfolio or client hierarchy.
- Legal Entity Views
- Organizes exposures by legal entity/subsidiary.
- Maximum Hierarchy Levels
- Defines the number of portfolio levels supported.
- Multi-level Aggregation
- Aggregates risk at trade, account, desk, portfolio, and firm levels.
- Portfolio Customization
- Flexible portfolio and sub-portfolio definitions by user.
- Real-time Exposure Aggregation
- Instant updating of risk exposures upon data or trade changes.
- Segregated and Consolidated Views
- Toggle between consolidated and segregated risk views at any hierarchy level.
- User-defined Groupings
- Flexible grouping of accounts or trades for specialized analysis.
Reporting & Analytics
Tools to generate, export, and automate complex risk reports and analytics.
- Ad-hoc Query Tool
- On-demand analytics and query capabilities for risk managers.
- Audit Trails for Reports
- Tracks who accessed, generated, or modified reports.
- Automated Report Distribution
- Automated emailing and secure distribution of reports to end-users.
- Custom Report Builder
- User-driven creation and scheduling of custom risk reports.
- Drill-down Reporting
- Ability to generate reports from aggregate to transaction level.
- Interactive Analytics
- Online analytics with filters and scenario sliders.
- Multi-format Export
- Exports to Excel, PDF, CSV, XML, etc.
- Regulatory Compliance Reports
- Configurable templates for regulatory submissions (Basel, SEC, etc.).
- Schedule-based Reporting
- Supports automated scheduling of recurring reports.
- Standard Risk Reports
- Pre-built regulatory, executive, and detailed risk reports.
Risk Methodologies
Supports comprehensive methods for quantifying market risk including VaR, stress tests, and scenario analyses.
- Backtesting Capabilities
- Compares predicted risk measures with actual outcomes to validate models.
- Confidence Level Setting
- Customizable VaR confidence intervals (e.g., 95%, 99%).
- Expected Shortfall (ES)
- Calculation of Expected Shortfall (CVaR) to supplement VaR.
- Incremental and Marginal VaR
- Calculates risk contribution or reduction by portfolio components.
- Model Performance Metrics
- Built-in analytics to report and monitor risk model accuracy.
- Multi-Factor Risk Models
- Integrates systematic risk factors across asset classes.
- Number of Models Supported
- Number of distinct risk modeling methodologies supported.
- Scenario Analysis Framework
- Create and run hypothetical or historical scenarios across portfolios.
- Stress Testing Tools
- Configurable stress testing for idiosyncratic and systemic events.
- VaR Horizon Customization
- User-defined horizons (e.g., 1-day, 10-day) for VaR computation.
- Value at Risk (VaR) Models
- Supports parametric, historical simulation, and Monte Carlo VaR calculation methods.
Security & Resilience
Ensures confidentiality, integrity, and availability of risk data and system processes.
- Audit Logging of Security Events
- Detailed logging of all access and security events.
- Business Continuity Planning
- Redundant infrastructure to ensure service during outages.
- Data Anonymization
- Built-in data masking and anonymization tools where applicable.
- Data Encryption At Rest & In Transit
- Encryption protocols for stored and transmitted risk data.
- Disaster Recovery Procedures
- Documented and tested disaster recovery process.
- Intrusion Detection Integration
- Links to organization security tools for threat detection.
- Marketplace Certification
- Compliance with security certifications (SOC 2, ISO, etc.).
- Multi-factor Authentication
- Support for MFA to secure access to sensitive risk data.
- Penetration Testing & Vulnerability Assessments
- Regularly scheduled security assessments.
- User Session Timeout
- Automatic session expiration for inactive users.
User Experience & Accessibility
Covers end-user features for usability and accessibility across teams.
- Accessibility Compliance
- Adherence to standards (e.g., WCAG) for users with disabilities.
- Customizable Dashboards
- End users can tailor dashboards and layouts to personal preferences.
- Help and Training Support
- Contextual help, tutorials, and knowledge base.
- Mobile Compatibility
- Accessible and functional on tablets and smartphones.
- Multi-language Support
- System interface available in multiple languages.
- Notification and Alerting System
- Automated, configurable alerts for threshold breaches or data anomalies.
- Rich Visualization Tools
- Interactive charts, heatmaps, and risk distribution graphics.
- Role-based Access Controls
- Granular user permissions and access settings for different teams/roles.
- Search & Drill-down Functionality
- Powerful tools to locate, filter, and drill into risk data.
- Web-based Interface
- Accessible via browser with no client installation required.