MF Risk Suite runs natively with all MF solutions, showing VaR figures calculated with the traditional variance –covariance method (for linear payoffs) and the delta plus method (for non-linear ones) under both historical and hypothetical volatilities and correlation scenarios.

Real-time analytic and aggregated risk figures are available: VAR Backtesting, Capital Requirement, CVAR, Expected Shortfall e Potential Loss, Incremental IRC as well as concentration and asset allocation risk.

Likewise, MF Risk Suite also allows daily and intraday recalculation of the credit/debt quality adjustments (CVA/DVA) required when determining the fair value of derivative instruments for IAS purposes (IFRS13).

Traders can therefore adjust prices accordingly or, for hedging transactions, select the most appropriate counterparty.

MF Risk Suite can run independently and/or elaborate data from different sources to provide consolidated risk figures.
Exposures calculated by MF Risk Suite can directly impact all limits defined with MF Limit Manager. This means they can integrate straight into the firm’s credit limit management framework for limits per time band and black hole limits.