XRT said the software performs:
- daily valuation of all financial positions and operational cash flows
- measurement of interest rate and foreign exchange rate exposure
- analysis of risk factor diversification at multiple levels
- historical analysis of market data
The tool uses a financial math library from Financial CAD’s Developer to allow users to evaluate risk metrics at all levels.
Company officials said the new product also boasts:
- sensitivity statistics such as basis point value, duration, and convexity
- valuation models such as Garman Kolhhagen Model for European Style Options.
The Risk Management Solution is the backbone of XRT’s Hedge Accounting Solution Valuation models. Calculations performed by the new tool support FAS133 effectiveness testing.