MKIRisk, a division of Midas-Kapiti International (MKI) has launched Risk Vision, a suite of integrated risk management applications, which provide comprehensive support for enterprise-wide credit, market and liquidity risk management, as well as global limits management. The four separate applications comprising Risk Vision are RV Data, RV Analytics, RV Carma and RV Limits.
RV Data provides a real-time data consolidation repository, which manages data from a variety of different systems, product lines and business units in a consistent manner. RV Analytics and RV Carma support credit, market and liquidity risk calculations and analysis at all levels, including portfolio, trade, desktop and enterprise-wide. A comprehensive rules-driven approach to limits management is provided by RV Limits, enabling users to implement risk policies without system constraints.
Simon Creed, Chief Executive Officer of MKIRisk, explains, “Following installation by leading financial institutions such as Commerzbank, ING Barings, Abbey National Treasury Services and Thai Farmers Bank, the individual components within Risk Vision have gained an enviable reputation. Now, the high degree of integration achieved between the different applications has allowed us to realise our ultimate aim of creating a single, integrated solution for enterprise-wide risk management.”
“In preparation for convergence within an integrated solution, each of the four component systems were enhanced with regard to architecture, methodology and product functionality. Initially, to ensure total compatibility, the architecture of all the applications was upgraded to offer substantially improved high speed performance,” he continues.
The most significant addition to the functionality of RV Limits is the enhancement of the existing on-line pre-deal checking feature to support web-based pre-deal limits checking. The new feature enables dealers to check whether a trade would break an agreed credit limit, by entering details of a proposed deal prior to execution, while the use of web-based technology ensures the new facility can be implemented quickly and easily.
RV Limits’ new web-enabled pre-deal limit check function is platform independent and was developed using Java technology, supporting both Microsoft or Netscape-based web browsers. The new facility can be installed on any Windows-based trader workstation to display pre-deal limit checks, and can be fully integrated with an existing trading system.
Simon Creed, points out, “The new web-based pre-deal limit checking also offers a number of other advantages. Using a standard web-browser reduces the cost of roll-out, by removing the need for a high-speed connection between the trader workstation and the main system server. As well as being fast and easy to install, it also eliminates the complexities involved in version control across a large number of end-users in multiple locations.”
Other enhancements to RV Limits include improvements to the system’s Netting Agreements functionality and the introduction of a Linked Trades feature. This allows complex financial products to be broken down into separate components to simplify processing, and enables the system to support a far wider range of instruments.
The RV Analytics component of Risk Vision has also undergone substantial development, particularly in the area of advanced interest rate pricing and portfolio analysis. It now offers support for the full spectrum of option types, from simple Caps & Floors to the most sophisticated and highly structured interest rate option products, while in terms of methodology, a large number of forward simulation techniques have been added to RV Analytics, covering ‘what if’ scenarios.
Recent and planned enhancements to the RV Carma simulation engine have included additions to the current broad product coverage with support for Mortgage-backed Securities and Credit Derivatives. Refinements have also been made to the advanced simulation methodologies employed, such as ‘fat tails’ and principal components decomposition, while credit risk simulations have been enhanced by the addition of correlations between credit migrations and defaults. The integration of RV Carma into the overall solution now allows all credit and market risk statistics to be used dynamically by the RV Limits engine.
Simon Creed comments, “The close links established between RV Analytics, RV Carma and RV Limits now enable a comprehensive set of limits to be established and monitored in real-time, including risk statistics such as duration and Value at Risk.”
“The intensive work undertaken by MKIRisk’s product development teams in both London and Los Angeles has ensured that through integration and enhancement of what were previously separate components, Risk Vision has evolved to become a world-class, integrated global risk management solution,” Simon Creed concludes.