FlexFinance Jabatix provides data marts that contain information required for market risk management. This information has been called for by the BCBS (= Basel Committee on Banking Supervision) in order to define capital requirements. The market risks are divided into risks regarding interest rates, foreign exchange rates and securities prices. As regards the related capital requirements, the risks associated to foreign exchange rates and securities prices are only calculated for positions in the trading book whereas interest rate risk must be taken into account for all positions.
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- Loans / money markets
- FX deals
- Bonds / promissory notes
- Equities / funds
- FRA (forward rate agreements)
- IRS (interest rate swaps)
- Swaptions
- Forward deals
- Caps / floors / collars
- Options / futures
- Credit derivatives
FlexFinance Jabatix allows parallel calculations to be made in accordance with various regulatory approaches (standard, IRB, CAD), the use of which for reporting purposes has to be approved by the national authorities in each case.
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Below is an example of a market risk report in FlexFinance Jabatix based on these data marts:
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The following standard functions are also available for reports defined in FlexFinanceJabatix:
- extensive drilldown possibilities
- possibility to compare the report for different posting days
- proof of rule for reporting contents
- manual editing combined with consistency check