Risk Integrated, a consultancy and software firm specializing in risk measurement and reporting, has launched its Generalized Finance System (GFS), a web-based risk measurement and reporting platform. The system aims to helps risk managers calculate and report on capital and stress tests for mixed asset types, including retail loans, retail mortgages, corporate loans, commercial real estate, equities and asset backed securities by enabling risk analysts to convert unwieldy spreadsheet analyses in a robust enterprise-level system.
In a post-crisis climate, governments, boards and regulators are demanding that financial institutions describe what would happen to their assets in stressed “what-if” scenarios. Obtaining these answers requires the development and refinement of new risk calculation methodologies and the collation of massive amounts of data.
“Given the very tight deadlines, many institutions have been forced to develop their analyses using spreadsheets, with the inherent problems of scalability, robustness and auditability. Spreadsheets are an excellent tool for rapidly prototyping new analytics, but not viable as an enterprise-level application,” said Dr. Chris Marrison, founder and CEO at Risk Integrated.
“Many financial institutions are currently running their stress tests in unwieldy sets of spreadsheets or in inflexible systems with limited capabilities. The GFS enables risk analysts to prototype their models in Excel, but then have them be controlled and audited inside a robust, scalable system with unlimited volumes of data and high calculation speeds,” said Yusuf Jafry, Ph.D., co-founder and CTO at Risk Integrated.
In order to fully explain the results of the stress, an audit trail shows all the data, assumptions and models that were used in creating that set of results. This says the company, enables reliable and timely stress test reporting.
Outputs from the GFS include stressed probabilities of default, expected loss and stress capital requirements. The analytics can also be directly linked to a Monte Carlo Evaluation engine to provide fully correlated loss distributions for the portfolio. These can then be dissected into the contribution of individual assets and sub-portfolios.
