Numerix’s flexible technological scaling and integration capability allows the bank to precisely compute and monitor complex risk-metrics in a time-frame that can positively impact its business decisions.
Further, it will allow the bank to efficiently administer, monitor and report on market risk exposure for its complete range of portfolios such as banking and treasury management groups, across all asset classes.
Using the latest risk management tool, the lender can aggregate risk, drill-down across all trades and rapidly price and calculate mark-to-model, historical/stressed Value-at-Risk (VaR), as well as Actual/No-action P&L and backtesting for vanilla and OTC derivatives.
Packaged with complete capability, the system prepares custom reports and interfaces as required by the front office, middle office, IT and other desks, along with complete audit-trail and user-authorization features.
HDFC Bank is also planning to deploy other Numerix technologies, including counterparty risk functionality for Credit Value Adjustment (CVA), forward One-Step Monte Carlo Value-at-Risk (MC VaR) and Potential Future Exposure (PFE), including Treasury and Counterparty Limits monitoring.
