Risk Framework covers the following (financial) instruments::
- Equities: Shares, Funds, Commodities.
- Bonds: straight, floater, inflation;
- Money markets: bullet, capitalisation, 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.
Modelling and pricing of structured products and exotics through a multi-factor approach:
- A sub-set of known market factors' (e.g. 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 historical behaviour.
- 23 standardized 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.