Risk Framework Functionality

RFW supports - in one or several model sessions - lists of basic objects, such as customers, portfolios, instruments, scenarios, real estate, nomenclatures, settings and market data. Model sessions contain primary information for the definition of the system's functionality and competence. This is ensured in a highly flexible manner by the GUI description, the business logic rules and the database structure. Selected modules, along with their models, create sub-applications in desired areas. For example, models for credit risk, rating, collateral management and COREP-reporting support the Basel III credit risk sub-application. RFW is highly extendable, enabling the adding or extending of models. In this way, it ensures a rapid development and adaptation of user requirements in an unlimited number of application areas and their combinations. RFW accesses data using independent layers to database management systems, connectors and imports / exports, enabling an easy integration into existing systems. For more information on RFW modules and their functionalities see the table below.

Module List Functionality
1 System Models
  • Catalog of instruments, positions, filters, portfolios, scenarios, etc.;
  • Register of finance centers, users, roles;
  • Settings, currencies, countries, cities, markets, financial calendar.
2 Administrative Models
  • Management of sessions, batches, reporting;
  • Management of OLAP & QlikView Cubes, templates;
  • Logging, auditing, warnings.
3 Portfolio Management
  • Portfolio definition using lists, filters, static and dynamic structures;
  • Definition of dynamic asset allocation, analytical periods;
  • Portfolio optimisation.
4 Market Data and Scenarios
  • FX rates, curves and spreads, prices, indexes, volatility, scenarios;
  • Management of historical time series, performance calculation;
  • Market and liquidity scenarios.
5 ALM Instruments, ALM Analysis
  • Single position, instrument and attributes definition;
  • Portfolio evaluation and aggregation: PV, figures, CVA/DVA, Key rate;
  • Cash flow analysis (GAP) and aggregation;
  • Interest income analysis including FTP.
6 Market Risk Basel III, Internal Models
  • Basel II Market Risk: Regulatory models;
  • Market Risk (RiskMetrics VaR by Monte Carlo simulation);
  • Clustering, correlation matrix and volatility, market factor distribution.
7 Operational Risk Basel III
  • Basic Indicator Approach (BIA), Standardized approach (STA);
  • Advanced Measurement Approach (AMA) and consolidation;
  • Loss event data entry and loss database;
  • Self assessment questionnaires about Basel III categories.
8 Credit Risk Basel III, Internal Models
  • Rating agencies, migration matrix, recovery rates and LGD;
  • Branch index volatility and correlation, rating spreads;
  • Credit risk attributes to instrument or issuer
  • Credit VaR Monte Carlo simulation (CreditMetrics);
  • Management of collaterals and guaranties, margin calculation;
  • Regulatory capital requirements.
9 Solvency II
  • Insurance instruments (25 Types) and attributes;
  • Mortality tables and scenarios, settings for Solvency II;
  • Capital requirements (market, default, life underwriting risk).
  • Private Rating
  • Corporate Rating
  • Retail Scoring
  • Rating for retail and corporate customers;
  • Balance sheets for corporate customers;
  • Quality assessment collateral, credit application rating.
11 Limit and Notification
  • Management of limits, compliances and alerts;
  • Management of notification events: messages, SMS, e-mails.
12 Framework Applications
  • Management of real estate properties and funds;
  • Investment consulting;
  • Asset-based funding application.

The usage of models provides the means for an easy and flexible customisation (change) or functionality enhancement of the system by modifying or adding new model scripts. RFW establishes a platform for development of software applications based on a modern paradigm of object-oriented programming, artificial intelligence, neural networks, statistics and simulation.

For more information see A short overview of Risk Framework's functionalities in Bulgarian language