Economic capital is the capital necessary to cover the bank's losses with a certain confidence level and over a chosen time horizon. It is the optimal amount of capital the shareholders would choose for running the business.
The FRSGlobal RiskPro solution provides the following functionality:
- Market Value at Risk: Includes support for VaR parametric, VaR Monte Carlo and VaR historical simulation methodologies. The following VaR methodologies are available:
- VaR parametric: based on the RiskMetrics™ matrix structure
- VaR Monte Carlo: based on Monte Carlo simulated market price distributions
- VaR historical simulation: based on historical market price and volatility observations
- Credit Value at Risk: FRSGlobal RiskPro offers two approaches for Credit Value at Risk: mark-to-market and default-mode
- Financial product / instrument coverage: FRSGlobal RiskPro has extensive financial product/instrument coverage, from deposits to exotic derivatives
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Full details of the FRSGlobal Riskpro Economic Capital solution