Risk Framework covers a large set of financial instruments, that are included in financial and non-financial portfolios in different areas:
- Bonds: straight, floater, inflation
- Money markets: bullet, capitalization, rollover
- Loans: annuity, regular (fix, float)
- Deposits: Savings, user defined
- Other: cash accounts, Real Estate, Collateral
- Swaps: FX, CC, IR (fix/fix, fix/float, float/float), FRA, FX Outright
- Credit Derivate: CDS, CDX, Expected Loss
Modeling and pricing of structured products and exotics using the Multi-Factor approach
- A sub-set of known market factors (rates, prices, indexes, etc.) time series is selected.
- A regression is then used to find a pricing expression for the known factor sub-set.
- The pricing expression replicates the product’s historic behavior.
- 23 standard instruments used by commercial banks, such as specific loans and deposits
25 insurance instrument types, including:
- Whole life / Term pension insurance
- Whole life pension insurance with guarantee
- Whole life pension insurance arithmetic increasing/geometric changing
- One-time survival / whole life / term insurance
- One-time whole life / term insurance arithmetic increasing/decreasing
- Whole life / term pension insurance with return of premium
- Free defined insurance / Combined insurance