Internal risk, model validation, and committee packs.
One calculation engine spans liquid trading books, illiquid loan books, bilateral OTC derivatives, and balance sheet ALM. 34 option model families, multi-currency yield curve bootstrapping, and Extreme Value Theory tails run in milliseconds on standard compute.
Every sensitivity, VaR run, and stress scenario links directly to its underlying market ticks and parameters through a typed lineage graph, designed around BCBS 239 risk-data-aggregation principles, so a reconciliation spreadsheet is no longer the audit trail.
★ BCBS 239-style aggregation · deterministic recomputation
workspace / risk / alm-stress · LCR & NSFR analysisillustrative · 200 bps shock
NII Sensitivitymetric · Δbps
Parallel shift +200 bps. Net Interest Income expands +$42.8M annualized; duration gap closes to -0.42y.
+$42.8M
LCR Buffermetric · liquidity
30-day stressed outflow. High-Quality Liquid Assets cover 142.6% of modeled run-off under deposit beta 0.65.
142.6%
10D VaR 99.9%metric · tail risk
Parametric & EVT tails. Maximum modeled 10-day loss at $14.2M (well within regulatory tier-1 capital limit).
$14.2M
Risk Committee Pack
Standardised-approach pack · run digest recorded · illustrative
Sample