Riskpro
Riskpro functions can be grouped as follow :
Market Risks & ALM:
Back testing
Limit Control
Risk Adjusted Performance
Historical Comparison
Gap
NPV
- Duration, Convexity
- Time Decay
Value at Risk (VAR)
- Historic
- RiskMetrics
- Monte Carlo
- Bench Marks
- Incremental
Key Rate Duration
Stress Test
Scenario Simulation
Duration, GAP, NPV
Monte Carlo
Basel II
Standardized
IRB Foundation and Advanced
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