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Kastle Risk Management

KastleTM Risk Management is one of the comprehensive market risk management solutions in which transactions entered or cash flow components are used as a base to arrive at a risk measure, known in the industry as the VaR number, covering most markets, including, Forex, Fixed Income, Money, Equities, Derivatives and Commodity markets..Also, It provides capital charge measurements for market risk by using both standardized approach and internal VaR models according to RBI norms for Basel II Framework.

One of the best features offered by KastleTM Risk Management is the ability to provide to the user the flexibility to select the methodologies and parameters to suit the functioning and policies of their individual banks.

Below are the modules available in Kastle™ Risk Management System

 VaR Analysis:

VaR is a measure of the maximum potential change in value of a portfolio of financial instruments with a given probability over a pre-set time horizon. Kastle™ Risk Management has in built engine to calculate VaR using the three commonly used methodologies of Variance Covariance (also called Risk Metrics), Historical Simulation and Monte Carlo Simulation.
VaR of a particular instrument or a portfolio is dependent on a number of parameters other than portfolio position and instrument cash flows. Kastle™ Risk Management provides flexibility in defining these parameters by providing multiple choices and techniques, wherever required. It includes:

  • Confidence Level: Probability of potential loss
  • Holding Period: Actual, Scaling Up
  • Return Computations: Relative, Lognormal
  • Volatility and Correlations: Moving Average and Exponential Weighted Moving Average Method
  • Decay Factor
  • Interpolation Techniques: Linear, Logarithmic
  • Cash flow Mapping: Duration Mapping, Volatility Mapping

Capital Charge: Standardized Approach: Kastle™ Risk Management System has exclusive module to compute capital charge using Standardized Approach which comply Basel II guidelines. The module is fully parametric approach which enables maximum flexibility. The report for Standardized Approach has been shown based on top to bottom hierarchy with drill down facility for granular level analysis.

Capital Charge: Internal Model Approach: Kastle™ Risk Management System has exclusive module to compute capital charge using VaR based Internal Model Approach which comply on RBI as well as Basel II guidelines. Components of the approach such as Stressed VaR and Normal VaR have been computed based on Historical Simulation VaR Model.

Analytical Tools

Scenario Analysis for Stress Testing
Scenario analysis allows the user to define a scenario that a user has in mind, and view the behaviour of the portfolio under the same. This is a kind of stress test performed on the scenario, where the user stresses the normal market rates for the various risk assets.Back testing
Back testing is an analytical tool which helps to measure the accuracy of VaR Model where actual P&L has been compared to potential loss (VaR). The difference between actual P&L and potential loss (VaR) indicates the accuracy of the VaR Model.What If
Often a financial institution has the opportunity to enter into a huge structured deal, which may have an effect on its capital charge. In order to arrive at the incremental VaR, on account of such a transaction, the system provides a facility for the user to identify this deal as a simulated deal. The deal is entered in the Treasury system and uploaded into the Kastle Risk Management system like the other trades. While calculating the VaR number, the user chooses the position set using the What If.Data Management: Kastle™ Risk Management has interfaced with the treasury systems for cashflow positions as well as for rates for the various risk assets. The system has a standard text file gateway for upload of data. This interface is extremely user friendly and ensures all data integrity during data upload to avoid data inconsistencies at a later stage. Apart from Kastle™ Treasury, Kastle Risk Management™ have flexibility to interface with third party Treasury Systems such as Kondor+, Finacle Treasury, Lasersoft ITMS (Polaris). The system has facility to schedule upload process for reducing manual intervention.Data Management: Kastle™ Risk Management has interfaced with the treasury systems for cashflow positions as well as for rates for the various risk assets. The system has a standard text file gateway for upload of data. This interface is extremely user friendly and ensures all data integrity during data upload to avoid data inconsistencies at a later stage. Apart from Kastle™ Treasury, Kastle Risk Management™ have flexibility to interface with third party Treasury Systems such as Kondor+, Finacle Treasury, Lasersoft ITMS (Polaris). The system has facility to schedule upload process for reducing manual intervention.

Ships From: United States (US)

Solution Offered By : 3i-infotech
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Description

Financial Intermediaries continue to seek avenues to deploy funds in maturing markets, whereby they are exposed to various risks in the marketplace. Kastle™ Risk Management is an effective web-based market risk management solution that enables implementation of Risk Control and Mitigation initiatives. It provides:

  • An understanding of Risks taken by an institution
  • Measure Risk exposure of the organization at various levels
  • Control Risk by implementing suitable strategies

With the objective of incorporating the latest of developments in the area of market risk and banking regulations, Kastle™ Risk Management, is a very comprehensive package which offers a plethora of tools at the disposal of the Risk Manager. The ability to arrive at well-informed and well-guided decisions is made much simpler by the analysis done using KastleTM Risk Management.Kastle™ Risk Management system has presence in South Asia, APAC, Middle East and Africa.

 

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