Tag Archives: ARMS

Major ARMS release – version 3.6

With the 3.6 release of the ARMS platform, the module for Interest Rate Risk in the Banking Book (IRRBB) will be available to current and new clients. Using the speed and memory efficient cash-flow engine, the module will provide standardized stress regulatory reporting for the risk department. Using the flexible configuration, the module will work equally well for the treasury department to assess future earnings under different market and margin scenarios. Static and dynamic balance sheet effects can be analysed to provide management with wide set of future earnings scenarios. All other modules in ARMS have various new features and improvements.

2019-06-07 News

Nordic phase-in of new Initial Margin Rules is closing in.

Phase one and two of the new initial margin rules for non-cleared derivatives transactions has been finalised and the global players are live. Now that phase three, encompassing mainly regional banks, is knocking on the door, September 2018 is very close indeed. When also phase four and five targeting buy-side has go-live in 2019, the need for a cost efficient and local solution is obvious. Algorithmica's Risk Solution team is pleased to announce that release of the new SIMM margin rule engine will be out soon.

2018-05-29 News

New Master Thesis on Exotic Derivatives and Deep Learning

This Master thesis investigates the use of Artificial Neural Networks (ANNs)for calculating present values, Value-at-Risk and Expected Shortfall of options, both European call options and more complex rainbow options.

2018-05-28 Finanskontakt News

Look into the ARMS FRTB Suite

New ARMS – cumulative release notes

Cumulative ARMS release notes from ver 3.3.1 to 3.3.7. The ARMS R&D department continues to deliver high quality performance enhancements and new features to the growing risk management platform. With this release, ARMS is shipped with many features that will make the users much more productive in their daily work. This includes both analytics for explaining current risk issues as well as fast pre-trade support. Fast turn around times on bespoke new instrument development has also enabled risk departments to give green-light with regards to new trades.

2018-03-22 News

ARMS Market Risk extends support for IMA-FRTB, SA-FRTB, and DRC

To finalize a production version of ARMS for the new FRTB capital requirements calculation, a number of core technology components have been developed at the heart of the ARMS platform. Using the new infrastructure, high-performance risk calculations can be done using the standard ARMS risk platform without large upgrade and configuration projects.

2016-08-15 News