RISK MANAGEMENT

DERAM has a deep expertise in the field of risk management and risk calculations in finance and commodities. Large banking groups in Europe and the world's largest food company rely on our risk calculations.



Our out-of-the-box modules cover different domaines and can be easily deployed in your organization.

 

Collateral Management​

The Sigma Collateral Manager gives you the whole picture on the level of each portfolio with drill down possibilities to each underlying account and instrument. 



Our Sigma Collateral Manager calculates, mesures and takes care of the following risks: market risk, credit risk, market sector risk, geographical risk, market place risk, currency risk, liquidity risk and diversification threshold per instrument type. All these risk factors can be freely configured on the screen  by the Client.



The Sigma Collateral Manager employs the most recent technologies that allow to reduce dramatically implementation and interfacing efforts with your legacy systems.

RePo Module  (Reverse Repurchase Agreements)

The RePo module is a tool designed to fulfil all the needs of a bank to handle its repurchase agreement transactions. It gives full transparency and control over each RePo transaction and handels exceptions with automated alerts and reports.



The RePo Module gives you full control over:


• Any contract for each counterparty
• Any security for each contract
• Management of RePo-baskets with user-defined criteria
• Notification of securities, contracts and counterparties not satisfying the criteria
• Reporting of the statistics at counterparty, contract and security level.



The Module is fully interfaced with the major actors in this markets such as ClearStream and EuroClear to assure  a smooth and completely automated operation.

Basle II Haircut Calculator​

This module computes haircuts for financial collateral to credit exposures. The computation of haircuts consists of calculation of volatility adjustments of the collateral asset. The collateral asset can be either fixed income or equity.



For equities, volatility adjustments are made for each security individually. For fixed income instruments, the volatility of government yields are used and volatility adjustments for individual securities are calculated by making use of the modified duration of the individual security.



All data and results are stored in a centralized database accesible through a user friendly dashboard and a myriad of interfaces takes care of the communication to downstream applications.

Forex and Option Calculator

The Forex and Options Calculator is a highly sophisticated solution that provides you with all Forex and Interest rates around the world. This module helps multi-national groups to ensure that the same Interest and Forex rates are applied for all transactions, including consolidation of accounts, on a group level.



The Option Calculator covers all options on all markets for any kind of commodity. Configurable filters allow to retrieve the specific options for your business out of the world-wide entire option markets. The Calculator retrieves every day the newly forthcoming options and avoids thereby the hassle of finding the new codes of the Options for your roll-over positions.

 
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