Nexus Risk Platform - Features & Highlights

ALM Attribution Analysis

  • Analyze and report of cross-period interest rate impacts
  • Explain cross-period movements in economic surplus and duration metrics using source-of-change analysis
  • Reconcile  actual / expected impacts due to interest rates
  • Quantify the value added of ALM strategies
  • Evaluate the impact of inter-segment notes

Rebalancing and Optimization

  • Test trades using the built-in trade sheet
  • View impact of asset trades on risk position instantaneously
  • Perform real-time testing of portfolio rebalancing strategies
  • Perform risk optimization to maximize financial objectives within risk limits

Data Management

  • Aggregate cash flows for analysis across multiple lines of business and multiple scenarios
  • Consolidate cash flows from different projection systems
  • Load and manage cash flows from large volume scenario testing
  • Enable flexible risk analysis from segment detail up to total company level

Monitoring And Reporting

  • Comprehensive interest rate risk analysis and reports
  • Risk limit compliance monitoring and reports
  • Sensitivity testing for equity risk
  • Output of key statistics required for Standard & Poor’s Financial Product Company (FPC) capital adequacy model
  • Powerful ALM attribution analysis and movement reporting
  • Analyze segment level or consolidated cash flow profiles
  • Perform analysis and reporting of risk results at any level of aggregation from individual segment to total company
  • Modified duration and modified convexity
  • Effective duration and effective convexity
  • Partial duration and partial convexity
  • Key rate duration and key rate convexity
  • PVBP (present value of basis point) statistics
  • Cross-period yield curve impact and movement analysis
  • Chart cash flow profiles, yield curve movement, price behaviour curves, partial durations, and risk distributions
  • Test and report risk distributions under virtually unlimited number of scenarios

Live Market Feed

  • Load market curves using available live feed from Bloomberg or other market data source
  • Select from default or customized government, swap and credit curves


System Requirements

Microsoft Windows XP, Windows 7
Dual-core processor
2.0 GHZ speed
1 GB memory
5 GB available disk space
.NET Framework 3.5 SP1 or higher
Microsoft Excel 2003 or 2007
USB 2.0 port
SVGA 1024x768, 32-bit color quality

Copyright © 2013 Nexus Risk Management. All Rights Reserved.