With Abacus360 Banking Risk, we offer a standard software for financial risk management, valuation and asset liability management. The solution also includes the well-established modules for risk & valuation (RiVa), which have been consistently developed, expanded, and optimized for over 20 years. 

Why decide on Abacus360 Banking Risk?

Abacus360 Banking Risk: financial risk management, valuation and asset liability management

Abacus360 Banking Risk provides banks with a multitude of financial calculation topics such as valuation, simulation and risk quantification. The software allows for the calculation of regulatory indicators and key risk figures using a single redundancy-free data model:

  • Cash flow generation
  • Valuation 
  • Credit risk 
  • Market risk (including periodical and present value interest rate risk) 
  • Liquidity risk 

Abacus360 Banking Risk covers a wide range of financial instruments, ranging from simple credit and trading products to exotic derivatives. In doing so, common practices such as interest rate or date conventions are taken into consideration.

The combination of different risk and reporting components in Abacus360 Banking Risk creates an integrated solution with standardized data management, uniform user guidance and reporting, as well as consistent calculation functions that build on one another. A large number of tools also supports active analysis and offers additional functions that are used for risk issues in the internal economic reporting process.

Abacus360 Banking Risk offers modules for valuation, simulation and regulatory requirements for simple and complex financial instruments and their derivatives. The standard modules can be combined into a tailored, customer-specific solution in accordance with the modular principle.

Basic Abacus360 Banking Risk modules

  • Cash Flow Generator

    The Cashflow Generator is used to determine the different cashflows of financial products (contractual, economic and behavioral) for different bank-specific requirements such as liquidity adequacy balance or interest maturity statement. Numerous attributes of the cashflows are calculated, such as amount, date, type (interest, nominal, fee) and present value. Variable cashflows are calculated using forward rates. The valuation of cash flows from options is taking exercise probabilities into account. For certain, configurable product types, the Cashflow Generator can determine behavioral cash flows.

  • Valuation Engine

    The Valuation Engine calculates present values and sensitivities of simple, complex and exotic financial products, considering spread, for the entire retail and investment banking spectrum. It builds the basis for other modules that calculate various key figures or perform calculations for the regulatory reporting. It uses established financial models (analytical, simulation, trees). The valuation method and its parameters can be configured per financial product.

  • Simulation Engine

    The Simulation Engine generates various market data scenarios. This can be done in two ways:

    1. Through historical simulation based on past relative market data changes applied to current market data.

    2. By scenario simulation (Stress Testing / Worst Case), where the relevant scenarios can be specified by rules (for example, shifting all stocks by 10%, shifting all EUR yield curves 140 bp up / down).

    The Simulation Engine uses historical simulations to perform the pre-calculations for the Value-at-Risk and the Expected Shortfall calculations. The VaR is calculated by the Value-At-Risk (VaR) engine at all hierarchy levels of the portfolio tree (down to the individual transaction level, if configured) based on historically simulated present values.

  • Value at Risk (VaR) Engine

    The Value at Risk (VaR) engine determines various risk measures (VaR, expected shortfall) at various aggregation levels (individual transaction, all portfolio levels) based on historically simulated present values.

  • CreditVaR Engine

    With the CVaR Engine Abacus360 Banking Risk provides banks an established credit portfolio model (CreditRisk +) for the calculation of loss distribution, credit value at risk and expected shortfall at the portfolio level and at the level of borrowers (units) through an analytical solution or Monte Carlo simulation. In addition, migration risks are considered by the deterioration of the creditworthiness of the issuer.

  • Economic Value to Equity (EVE) Solution

    The Economic Value to Equity (EVE) Solution calculates the present value effect of interest rate changes. For this purpose, the cashflows of the positions subject to interest rate risk are calculated for different interest rate scenarios. The solution provides the interest rate scenarios described in the EBA Guidelines (+/- 200 basis points and 4 non-parallel stress scenarios). The calculation is done with an IRRBB-specific product filter excluding CET1 instruments as well as considering the currency-dependent interest rate floors required by the EBA.

    Learn more about Abacus360 Banking Risk - IRRBB solution

  • Net Interest Income (NII) Solution

    The Net Interest Income (NII) Solution calculates the interest result for products of the banking book for a given forecast period and a given interest rate scenario, whereby various assumptions can be made about the development of the balance sheet.

    Learn more about Abacus360 Banking Risk - IRRBB solution

  • Liquidity Risk Solution (LRS)

    For liquidity risk management, Abacus360 Banking Risk offers the Liquidity Risk Solution (LRS) module, which calculates the liquidity adequacy balance required by Pillar II (ILAAP), including the calculation of funding risks and liquidity stress test reports (LST). The solution uses behavioral cashflows provided by the Cashflow Generator based on parametric scenarios and stress tests.

    For the normative perspective according to ILAAP ABACUS / LiMa offers an LCR forecast. This may for example be used for analyzing the impact of planned trades and balance sheet optimization. An analogue module for NSFR forecasting is currently being implemented by 2020.

Based on a consistent, redundant-free data model, Abacus360 Banking Risk can calculate various risk values. In addition to regulatory metrics such as LCR or RWA, financial institutions can calculate key risk figures such as (credit-) Value at Risk, Expected Shortfall for credit risk and market risk or the liquidity gap analysis sheet. A comprehensive library of algorithms for valuation and quantification can be used.

To meet individual requirements, Abacus360 Banking Risk offers numerous configuration options. The process for selecting market data and the valuation method and its parameters for the individual financial products, for example, can be flexibly defined.

Together with the Abacus Banking Regulatory solutions for regulatory reporting, banks can use Abacus360 as an integrated platform for regulatory reporting, risk calculation and the controlling of regulatory key performance indicators with a single data model.  

By integrating different functional areas onto a single platform with a single data model, Abacus360 increases the efficiency of regulatory processes, the transparency and quality of data, and agility for faster implementation of new regulatory requirements.

Business intelligence functionalities

  • Smart Cube Analyzer

    Smart Cubes facilitate a rapid and detailed analysis of all calculated key results indicators and interim results such as cash flows, (result) data for FRTB, (credit) value-at-risk and liquidity risk metrics. Different dimensions can also be defined to evaluate and to analyze the data. The dimensions represent a specific view of the data and can be used as filter criteria, e.g. making it possible to analyze cash flows per currency, per cash flow type or per day of occurrence. Another example is Credit VaR, which can be identified and analyzed for each sector or probability of default. It is possible to depict the data as a graph, to compare results from different reference data, and to track it over several hierarchical aggregation steps. The Smart Cube Analyzer can be used for data analysis. In addition, individual views, dimensions, and graphic illustrations can also be defined.

  • Template Desinger

    The Template Designer can be used to generate, modify and organize different regulatory, risk or individual reports based on the results and interim results of all mentioned calculations. All entities of the Abacus360 data model can be accessed. Building upon these, users can define their own allocation rules and layouts based on rows, columns or cells, similar to MS Excel™. In-house standard forms can be loaded as "templates". Using these tools, risk managers can easily define and generate their reports (e.g. liquidity risk report or other risk reports) in accordance with their needs and requirements.

Target architecture Abacus360 Banking Risk

Abacus360 Banking Risk is based on the innovative Abacus360 platform, a further development of the tried-and-tested Abacus platform. Abacus360 offers a new and innovative calculation engine that leverages technologies such as in-memory processing, grid architectures and the Cloud to allow for a significant improvement in operational performance and flexibility.

Abacus360 is based on an optimized and standardized data model that minimizes redundant data storage through the consolidation of results data across all modules. Abacus360 also offers a version and multilingual capability as well as multi-GAAP processing. The Abacus360 data model allows for a long-term data maintenance capability even in the face of constantly changing conditions.

Target architecture of Abacus360 with/including Abacus360 Banking Risk 

In the medium term, the migration of further products such as ABACUS/Transactions, ABACUS/Solvency II and Abacus Regulator to Abacus360 is also planned.

Distributed computing with Apache Spark

Abacus360 Banking Risk is based on a three-tier architecture with clear separation of the GUI, application logic and data management based on the distributed processing of Apache Spark. Apache Spark is a cluster computing framework with high market acceptance for big data projects.Apache Spark enables the processing of very high data volumes (several 100 million data records) and has strong vertical and horizontal scaling possibilities. It also shows good scalability for independent processing in parallel processes.

Apache Spark therefore allows for the stable processing of large data volumes within short time windows and the parallel processing of multiple modules and/or institutions.

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