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 for generating the cash flows (CF) of financial products such as the Interest Rate Maturity Statements and the Liquidity Gap Analysis sheet.

  • Valuation Engine

    Valuation Engine: the valuation engine identifies the present values and sensitivities of simple, complex and exotic financial products for the complete product range in retail and investment banking.

  • Simulation Engine

    The simulation engine simulates the present values by using the application of various market data scenarios. This can be done using historical simulations or scenario simulations (stress test/worst case).

  • Value at Risk (VaR) Engine

    The value at risk (VaR) Engine determines various measures of risk (VaR, Expected Shortfall) at different aggregation levels (single transaction, all portfolio levels) based on historically simulated present values.

  • CreditVaR Engine

    The CreditVaR Engine is used to calculate Credit Value at Risk, Expected Shortfall and risk parameters. 

  • Economic Value to Equity (EVE) Solution

    The Economic Value to Equity (EVE) Solution calculates the present value effect of interest rate changes. For this, the cashflows of positions subject to interest rate risk are calculated for various interest rate scenarios. The solution offers the interest rate scenarios (+/- 200bp and 4 non-parallel stress scenarios) described in the EBA Guidelines. The calculation uses an IRRBB-specific product filter, for the exclusion of CET1 instruments. The calculation of the currency-dependent interest floor required by the EBA are considered.

  • Net Interest Income (NII) Solution

    The Net Interest Income (NII) Solution calculates the interest income for products of the banking book for a given preview period and a given interest scenario, based on various assumptions about the development of the balance sheet.

  • Liquidity Risk Solution (LRS)

    The Liquidity Risk Solution (LRS) quantifies the liquidity situation on a daily basis according to ILAAP across currencies and differentiated by major currencies for baseline and stress tests. In addition to contractual cash flows, behavioral cash flows are also taken into account.

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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