Market risk
The module measures market risk: VaR and expected shortfall on the currency position, backtesting of the model and the sensitivity of securities to rate changes.
The module is part of the single TRrisk platform: it works on the bank's shared data and exchanges results with the other modules. How the platform works →
What the module does
VaR of the currency position
Historical and parametric VaR.
Expected shortfall
The average loss beyond VaR.
Backtesting
The Kupiec test and Basel Committee zones.
Securities
Duration and revaluation of the portfolio under a rate shock.
- Treasury
- Risk management
- Market risk is measured on the same data as capital.
- The quality of the VaR model is confirmed by backtesting.
Related modules
Risk and capital
NBKR capital ratios and Basel III, economic capital, risk appetite and limits.
details →ALM
Liquidity gaps, interest-rate and currency risk, balance sheet returns and an interest income forecast.
details →Counterparty bank limits
Exposure to counterparty banks, model limits by rating, early warning and concentrations.
details →Common questions
How does work start?
With a free 30-minute call with a solution architect. We go through the problem and suggest where to start. If it needs a closer look, we propose a 2–4 week diagnostic.
Which countries do you work in?
Our office is in Bishkek. We work with companies across Central Asia, on site and remotely.
What language are documentation and training in?
Russian and English. Methodology, manuals and reports are written in the language that suits your team, auditors and shareholders.
Do you sign an NDA?
Yes, before you share any data or documents with us.