QR Risk™ is a comprehensive multiple asset class and currency risk platform for mid-size capital market players, local and regional banks, credit unions, asset and fund management firms and hedge funds seeking a cost-effective robust and flexible risk platform that actually works and doesn't require lengthy implementation, large consultant and maintenance teams.
QR Risk™ is seamlessly integrated with our trading, portfolio and asset modules. Alternatively, if your internal trading, transaction and portfolio systems have no effective risk computation and reporting capabilities, QR Risk™ is a perfect stand-alone risk platform to sit next to your systems and integrate them.
Multiple use risk platform. Banks can fulfill their regulatory banking risk valuation, compliance and reporting. All players can perform internal risk valuation and portfolio scenario analysis to enhance their bottom line, P&L, earnings, hedging program, proprietary trading, asset liability or balance sheet risk management.
Flexible Connectivity Bridge to integrate any trading, portfolio and treasury systems. No SQL and no coding; all via configuration.
Ready out-of-the-box. Leverage numerous preconfigured risk templates, models and reports. Utmost configuration flexibility to adapt to any portfolio, operation and risk valuation rules without resorting to custom development or coding.
24/7 QR Cloud version is a ready-for-use cost-effective alternative. No software installation or development.
BASEL III, IFRS 9 and internal requirements are drastically reshaping the risk system infrastructure of banks. Local and regional banks and credit unions can’t afford and lack the consultancy expertise to implement and integrate costly legacy systems. QuantRisk Banking Risk System™ delivers your most stringent regulatory and internal risk management requirements, within a next generation ready-for-use universal architecture. ALM, market and credit risk. FRTB SA and IMA approach. Liquidity LCR and NSFR, and capital CAR monitoring, forecasting and reporting. Meet your central bank’s BASEL III requirements while enhancing your bank’s earnings, profitability and cost of capital via balance sheet optimization under nonlinear LCR, NSFR and CAR constraints.
BASEL III and IFRS 9 have invalidated big vendors' legacy risk infrastructure in multiple disparate systems for market, credit and liquidity risk. These can't be integrated into a joint risk model that can pass central bank's approval.
QuantRisk has automated system integration with core banking, ALM and treasury systems to the point that no consultants or IT resources are needed.
Backward looking historic VaR, widely used in the industry, is no longer applicable for multiple reasons. A fundamental switch must take place to full Monte Carlo risk with forward looking stochastic models. Firstly, VaR has been dethroned by expected shortfall (ES), or expected loss, should occur. This can only be computed via full stochastic Monte Carlo. Secondly, fair valuation of instruments is no longer acceptable. xVA embeds Valuation Adjustments for credit and liquidity risk factors. This can also be only achieved within a full Monte Carlo risk framework allowing path dependency and joint simulation of market, credit, collateral and liquidity risk.
BASEL III's Fundamental Review of the Trading Book (FRTB) imposes new constraints on market risk valuation, rendering obsolete legacy risk system implementations in silos. Unlike BASEL 2.5, FRTB allows two methods for market risk valuation. The Standardized Approach (SA) results in much higher capital charge than the Internal Model Approach (IMA) tailored to a bank's specific trading books. However, the front office and the IMA risk models can't be properly synchronized to pass the "P&L attribution tests" of central banks. QuantRisk new risk architecture greatly facilitates the integration of front office trading and middle office IMA risk models.
Regional banks face the daunting task of proactively optimizing their balance sheet to minimize cost of capital, while meeting BASEL III's capital and liquidity constraints. Balance sheet risk management, planning and optimization become intertwined.
We go far beyond traditional risk systems
QR Banking and Financial Risk solutions are optimal for these entities:
Mid-size treasuries, local and regional banks, credit unions, financial, asset and fund management firms and hedge funds seeking a cost-effective robust and flexible risk platform that actually work, doesn’t require lengthy implementation, large consultant and maintenance teams, and can integrate their existing systems.
Regional banks seeking an effective, affordable, ready-for-use BASEL III, market and credit risk platform, and expert team to meet your central bank's compliance.
One single integrated comprehensive multiple asset class trading, ALM, treasury, portfolio and asset planning, risk and optimization platform.
QR Risk™ helps you overcome all risk analytics shortcomings:
Cost-effective, robust and no overhead risk solutions that actually work.
All analytics are integrated. Stochastic Modeling. Calibration. Monte Carlo. Eliminate outside tools, modeling and Excel spreadsheets.
One single integrated holistic Monte Carlo risk platform: market, credit, ALM, banking BASEL III. Scenario. Portfolio planning. Compute latest risk metrics: VaR, Expected Shortfall / Potential / Future Exposure, ES, EFE, PFE.
Supercomputing performance. Eliminate performance issues. Compress computational time and memory.
MTM. Monte Carlo. VaR. ES. CVaR. EaR. CFaR. All assets. ALM, interest and FX rates. Scenario. Stress. Limits.
Cash & liquidity forecasting & risk. EaR. LCR, NSF, MLH. Stress. Scenario. Limits. Custom liquidity indicators.
Collateral PFC. Default. Expected and Potential Future Exposure, EE, PFE. SA-CCR. CVA, xVA. Limits.
BASEL III. Liquidity. LCR. MLH. NSFR. CAR. FRTB. CVA. xVA. BCBS239, 368. IFRS 9. Scenario. Stress. Limits.
Universal planning, scenario analysis and stress testing for balance sheet, portfolio or hedging programs.
Hedge effectiveness & accounting. Fair value accounting. Compliance. Reporting. IFRS 9.
Role-based security access. Audit and data versioning. Limits, monitoring & reporting. Workflow and life cycles.
Risk dashboard. Monte Carlo. Risk Statistics & visualization. Marginal & incremental risk. Drill-down.
Leverage next generation dual-use cloud-on-site architecture. QR Cloud is a live 24/7 supercomputing platform with a vast array of ready-to-use models and templates. You can select, download and customize any configuration from QR Cloud in your own instance, whether on-site or on QR Cloud.
QR System is a single universal software for all on-site and QR Cloud instances, and is upgraded quarterly free of charge. Actual clients’ implementation are configured in a database, which is portable from QR Cloud to on-site.
QR Cloud is ideal for medium size players. No software installation, IT infrastructure, resources or efforts required. All you need is a browser.
Private Cloud or on-site are for entities wishing to control data and processes.
Whether on the cloud or on-site, no permanent license and hefty initial license fee. Just pay 1 single yearly subscription fee for license, cloud supercomputing, maintenance and on-going upgrades.
Start with an actual Trial to test our platform and the quality of our expert team. Continue if satisfied. Cancel if the Trial fails to meet your expectations.
Ready for use out-of-the-box, no custom development or coding.
Cost-effective speedy implementation via intuitive configuration. Select, download and customize any configuration from QR Cloud in your own instance, whether on-site or on QR Cloud. Save years and millions.