Financial Software
• Introduction
Intermoney Valora Consulting develops applications to cover the needs of valuation, risk measurement and calculation of performance of financial and non-financial companies. The specific services and functionalities of these tools developed by Intermoney Valora Consulting include the following:
SIGMA - Risk measurement and performance calculation
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- Market Risk: VaR and Stress-Testing with parametric, Monte Carlo and Historical methodology.
- Credit Risk: Credit VaR and measurement of the sensitivity and exposure of portfolios and financial instruments to movements of interest rate, credit spread and rating..
- Liquidity Risk.
- Control of Coefficients: Measurement of legal coefficients and investment policy.
- Measurement of the Tracking Error ex-Ante or relative VaR according to the kind of management.
- Performance Functionalities:
- Measurement of the results obtained for a portfolio in terms of absolute and relative profitability and risk.
- Decomposition of profitability according to the attributes of financial assets.
- Measurement of management performance.
- Software installed in financial companies.
- Financial tools used internally to provide risk management and measurement services, among others for the Risk Management Unit service for different financial companies.
ALADIN - Valuation of financial instruments
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- Tool to implement the valuation of financial instruments.
- Wide range of valuable instruments:
- Fixed-income instruments plain vanilla: bullet bonds, FRNs or bonds with constant nominal amortization;
- Securitization and bonds with variable nominal amortization, i.e. ABSs, MBSs or CMBSs;
- Derivatives (without option): IRSs, cross currency swaps, forwards;
- Derivatives (basics options): plain vanilla, caps, floors, swaptions, options with simple barriers, digital options or lookback options; and,
- Derivatives (exotics option): digital options cancellables on baskets, Asian options, worst-off and best-off options, memory coupon options for baskets, cancelable accrual range and snowballs.
- Flexibility in the integration of new pay-offs.
- Valuation methodologies contrasted and approved by financial supervisors such as the European Central Bank, Banco de Espaņa, CNMV, DGS etc.
- Tool used internally to provide daily valuation services to banks, supervisors, management companies and other companies.
VECTOR - Coverage effectiveness evaluation
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- It encompasses three aspects of the coverage effectiveness measurement:
- Identification and management of hedged and hedged positions;
- Retrospective tests; and,
- Prospective tests.
- Three methodologies for assessing the effectiveness of coverage:
- Dollar offset method ;
- Regression analysis; and,
- Variance reduction.
- Creation of reports with all the relevant information and the results of the efficacy tests.
- Automatic loading of all hedging positions and valuation inputs.
- Different types of coverage: cash-flow hedge (CFH), fair value hedge (FVH),exchange rate risk cash-flow hedge (FX CFH), exchange and interest rate risk cash-flow hedge (FX INT CFH), exchange and interest rate risk fair value hedge (FX INT FVH), etc.
- Different types of risk: interest rate, exchange rate or interest rate and exchange rate.
- Customized parameterization of the user: frequency of observations for calculation, point-to-point or cumulative comparison method, definition of compliance thresholds, etc.
- Tool installed in many international banks.
- Tool used internally to carry out our tasks.
These financial tools are adapted and customized to the environment, the needs and preferences of each company. Its main features without the following:
- Technology and methodology developed and used in-house for the provision of valuation services, risk measurement and performance of portfolio management.
- Modular approach and customization of tools to the needs and preferences of customers.
Valuation
Assets Valued