The smarter, faster way to manage
pricing, credit and market risk
The smarter, faster way to manage
pricing, credit and market risk
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pricing, credit and market risk
Key use cases
Key use cases
1) As a benchmarking tool to facilitate and prototype propriety internal models at large institutions, informing primary model development without “recreating the wheel” for basic model components like discount curve construction and/or risk factor evolution models in exposure simulations
2) as an independent model utilised by local Model Validation teams at large institutions, saving enormous time in preventing one-time/”offline” model creation and/or replication
3) as the primary pricing and risk model for smaller-to-medium-sized institutions lacking either the budget for larger-scale vendor software and/or large development teams to support proprietary internal model development.
How we fit into your risk management architecture
How we fit into your risk management architecture
Vannarho provides
contemporary risk analytics and value adjustments (XVAs)
inputs for trade/market data and system configuration (API and XML)
inputs and outputs via API
Vannarho's Risk Engine is designed to integrate with upstream sources of data (book, trades, market) and downstream data stores.
Vannarho's internal and external data flows. The core processing steps followed in Vannarho to produce risk analytics results are sketched below. All calculations and outputs are generated in three fundamental process steps. In each of these steps appropriate data (described below) is loaded and results are generated, either in the form of a human readable report, or in an intermediate step as pure data files (e.g. NPV data, exposure data).
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