{"id":18907,"date":"2021-10-25T14:45:45","date_gmt":"2021-10-25T12:45:45","guid":{"rendered":"http:\/\/szzccmv.cluster031.hosting.ovh.net\/case-szena-irc-treasury-and-market-risk-management-proprietary-software-2\/"},"modified":"2021-10-25T14:45:45","modified_gmt":"2021-10-25T12:45:45","slug":"case-szena-irc-treasury-and-market-risk-management-proprietary-software-2","status":"publish","type":"post","link":"https:\/\/n.world\/en\/case-szena-irc-treasury-and-market-risk-management-proprietary-software-2\/","title":{"rendered":"[Case] SZENA IRC \u2013 Treasury and Market Risk Management \u2013 PROPRIETARY SOFTWARE"},"content":{"rendered":"\t\t
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\n\t\t\t\t\t\t\n\t\t\t\t\t\t\tRepresentative Case Industry - Finance & Regulation\t\t\t\t\t\t<\/span>\n\t\t\t\t\t<\/h3>\n\t\t\t\t\n\t\t\t\t\n\t\t\t<\/div>\n\t\t\t\n\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t
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\n\t\t\t\t\t\t\t\tSaaS Proprietary Solution\t\t\t\t\t\t\t<\/h3>\n\t\t\t\t\t\t\n\t\t\t\t\t\t\t\t\t\t\t\t\t
\n\t\t\t\t\t\t\t\tSimulation and valuation capabilities of our SzenaRisk platform, the necessary calculation modules are incorporated to obtain the new metrics. \n\t\t\t\t\t\t\t<\/div>\n\t\t\t\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t<\/div>\n\t\t\t
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\n\t\t\t\t\t\t\tDo you want to know more about our solutions?\t\t\t\t\t\t<\/h3>\n\t\t\t\t\t\n\t\t\t\t\t\t\t\t\t\t\t
\n\t\t\t\t\t\t\tGet in touch with a specialized consultant in Finance & Regulation\t\t\t\t\t\t<\/div>\n\t\t\t\t\t\n\t\t\t\t\t\t\t\t\t\t\t\n\t\t\t\t\t\t\tContact\t\t\t\t\t\t<\/a>\n\t\t\t\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t
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The approach<\/h2>\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t
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Design and build a proprietary solution capable of calculating the incremental risk measure (IRC) to the VaR of the trading book, incorporating default and migration risks.\u00a0<\/span><\/p>

The tool had to cover all the requirements of the regulator, specified in the TRIM guide.<\/span><\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t

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Results<\/h2>\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t
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The solution passes the internal controls of the validation area and is approved by the ECB. The stability of the results and the analysis capabilities are improved.<\/span><\/p>

Executions are performed on a daily basis, reducing the time spent by users on each calculation.<\/span><\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t

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During the project time, the volume of the portfolio is considerably increased.<\/span><\/p>