In the course of the last years risk management has become more and more important for many financial institutions. Increasing regulatory pressure as well as the needs for improved internal risk control have shown that also smaller institutions need sound solutions. Risk needs to be analyzed through the trade life cycles and the risk figures show impacts across the organization. Also the new evolutions in the financial markets such as central clearing require risk management on a high level.

UnRisk’s solutions for risk management work across multiple asset classes and a vast variety of risk factors to improve your understand of the sources of risk. Market risk, liquidity risk, credit- and counterparty risk as well as method- and model risk are all covered by our systems.

Risk Management Solutions

UnRisk Quant: Enablse risk managers to build their own risk management systems.

UnRisk Bank: A highly automated system supporting the CRO in the daily business.

UnRisk CM: A highly automated systems tailor made for capital management firms, hedge funds and private banks.

Instrument Analytics is the very heart and the historical beginning of UnRisk software products. A fast and robust valuation of instruments under various models is the foundation for more elaborate solutions, like risk management and counterparty credit risk.

This is the backbone and work horse of our solutions. Written in C++  it covers:

  • Model Calibration: Parameter identification, in such a volatile environment the financial markets offer, is hard task. UnRisk calibration is based on advanced regularization methods to overcome difficulties arising from noisy, unreliable data and to solve even ill-posed inverse problems efficiently.
  • Valuation: For the solution of the forward problem (valuation) UnRisk chooses among different methods including the solution of PDEs with Finite Difference/Finite Element schemes, the solution of SDEs with (Quasi-) Monte-Carlo methods as well as direct integration methods like Adaptive Integration and Fourier based techniques.

Highlights of the used methods include:

  • Finite differences schemes with special attention to upwinding techniques. Upwinding schemes need to be applied to cure the instabilities occurring if partial differential equations arising from mean reversion models are discretized.
  • To reduce the number of discretization points in the discretization process of PDEs and to further speed up the calculations the finite element method is used. Emphasis is laid on the assembling process of the global matrices and the incorporation of boundary conditions. Similar to the finite difference technique stabilization terms are added if the finite element method is applied to convection-diffusion-reaction problems.
  • For higher dimensional models Monte Carlo schemes are applied. To reduce the number of paths, and therefore the computation time, variance reduction techniques are applied.  For several tasks the Quasi Monte Carlo utilizing low discrepancy sequences instead of pseudo random numbers is the method of choice. 
  • To incorporate early exercise features into the valuation of instruments requiring larger numbers of risk factors the least squares Monte Carlo method is used.
  • In order to speed up the calibration process very fast valuation of vanilla instruments need to be performed. For these cases Cosine-Fourier based methods are used.

 

 

UnRisk provides an innovative solution for investor advisory, relying on simple and streamlined processes to analyze, simulate and monitore investment portfolios. The aim of using UnRisk solutions for investor advisory is to:

  • improve the quality of the advisory process
  • reduce the liability risk by applying internal controls
  • improve revenues by a cost reduction for the advisory process

To reach these aims UnRisk investment advisory solutions have the capabilities to

  • make comprehensive risk and allocation analysis
  • perform standard and individual scenario analysis
  • provide risk and performance related key ratios
  • accompany the whole advisory process until the trade offer

For further information see www.unriskomega.com

On the one hand asset managers struggle to come up with the returns seen before the financial crisis, on the other hand pressure from regulators increases further limiting their opportunities. Use UnRisk products to get more information, to make valuations from single instruments to whole portfolios across scenarios. The advanced technology used by UnRisk products helps your company to automate and streamline operations improving the analyzation and monitoring process.

Use the huge amoun of built-in statistics and visualization capabilities to define your own key ratios and present them in a dynamic way. 

 

 AssetManagementBW

In recent years we have seen an incredible change in pricing financial products. This change has mainly been driven by the credit crisis turned into a sovereign debt crisis in Europe. Although a simplification of instruments has been observed in the market, the inclusion of various value adjustements (xVA) has taken the complexity of the valuation of even those simple instruments to a new level. Credit risk measurement and capital allocation, are nowadays all based on an increasingly complex mathematical and IT machinery.

UnRisk solutions for Counterpary Credit Risk (CCR) use Monte Carlo engines in combination with fast solvers for PDEs to allow users to calculate:

  • Exposures
  • PFE, NEE, EE, ENE, EPE
  • CVA/DVA

With these information and key ratios at hand we gives users the ability to calculate, analyze and limit exposures and minimize capital charges for Basel III compliance. Users can value new trades and can perform What If analysis analyzing the trades impact on the CCR and its related key ratios.

 

News

UnRisk @ Spezialtag MiFID II

UnRisk @ Spezialtag MiFID II

UnRisk will speak at Spezialtag MiFID II am 06.12.2016: Anlageberatung 4.0...

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UnRisk consortium and Multilateral AG teamed up to found UnRiskOmega AG

UnRisk consortium and Multilateral AG teamed up to found UnRiskOmega AG

UnRiskOmega is a cooperation of the three companies multilateral AG, uni softwar...

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Mathematica & UnRisk Workshop in Paris

Mathematica & UnRisk Workshop in Paris

Wolfram Research and UnRisk have teamed up again to invite you to a free worksho...

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UnRisk in Paris

UnRisk in Paris

We are deligthed that UnRisk has spoken at the Wolfram Finance Event "A Workout...

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UnRisk Pricing Engine 8.1 Released

UnRisk Pricing Engine 8.1 Released

UnRisk today announced it has released UnRisk 8.1, an enhanced version of UnRisk...

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UnRisk Factory 6 is here

UnRisk Factory 6 is here

UnRisk Factory 6 is realeased with new features in valuation, instruments, marke...

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UnRisk 8 Released

UnRisk 8 Released

UnRisk today announced it has released UnRisk 8, an enhanced version of UnRisk-Q...

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Success Stories

UnRisk and Solventis - Or How To Build Up a SaaS Solution with UnRisk Technologies

UnRisk and Solventis - Or How To Build Up a SaaS Solution with UnRisk Technologies

Solventis is an independent financial group established in 2002 by a team of pro...

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UnRisk seals cooperation with multilateral AG

UnRisk seals cooperation with multilateral AG

multilateral AG is an innovative Swiss IT-Consulting and software engineering co...

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Dupire - Robust Calibration of Local Volatility Models

Dupire - Robust Calibration of Local Volatility Models

For the so-called local volatility model, Bruno Dupire derived a closed form sol...

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Workout in Computational Finance

Workout in Computational Finance

The intention of the book is to give a sound overview on numerical methods which...

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