Tag Archives: ARMS

Value-at-risk model performance during covid-19

We investigate three different Value-at-Risk models and their performance during the last year, including the Covid-19 turmoil.

2020-12-15 News

SEB selects IRRBB solution from Algorithmica

SEB has selected an IRRBB risk and planning solution from Algorithmica Research for its regulatory and internal IRRBB risk control needs. The IRRBB solution will be capable of delivering all standardised EBA stress tests pre-configured, with a range of modeling options for deeper internal analysis of economic value and earnings risk.

2020-03-27 News

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