![]() ![]() Additionally, different future behavioural changes (such as growth, defaults of large customers, deposits increase, etc.) can be tested in the presence of cash flow scenarios, in order to optimise the asset and liability management. Provides the means to present the disposition of future cash flows and detect any gaps, investment efficiency in the presence of different market scenarios.Market, volatility and value scenarios.Markowitz optimisation, including non-linear portfolios.investments in EUR > 30% and investments in USD < 40%. The optimisation is performed within user defined restrictions that represent portfolio owner preferences, e.g.Performs optimisation of risk and return and presents proposals for portfolio restructuring in the presence of different scenarios.With derivatives, Credit / Deposit Value Adjustment (CVA/DVA) is provided.Expected loss is calculated via spread curves assigned to respective issuers or via probability matrix, based on issuer ratings.Scenario projection – portfolio theoretical value, developеd over time, based on selected market scenarios.Basic sensitivities – durations, historical and implied volatilities, base point value, key rate values, etc.Market and theoretical values,profit / loss, return.When multiple scenarios are selected, results can be compared on all levels. Furthermore, all results are aggregated on each level of the portfolio structure. All evaluations are performed with regard to a selected market scenario.Market scenarios: FX scenario, stock index scenario, IR/yield curve scenario.issuer defaults, refinancing costs, realised by:. ![]()
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