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  • Banking
    • Asset Liability Management (ALM) and Basel Interest Rate Risk in the Banking Book (IRRBB)
    • Counterparty Risk
    • Market and Credit Risk Simulation
    • Basel Credit Risk
    • Credit Valuation Adjustment (CVA)
    • Basel Market Risk
    • ISDA SIMM
    • Basel Liquidity Coverage Ratio (LCR)/Net Stable Funding Ratio (NSFR)
    • IFRS Expected Loss
    • Funds Transfer Pricing (FTP)
    • Risk Weighted Assets (RWA)
  • Insurance
    • Asset Liability Management (ALM)/Multi-Period Forecasting
    • Risk-Based Capital
    • Portfolio and Transaction Level Analytics
    • Macro-Economic Variable Stress Testing
    • Market and Credit Risk Value at Risk (VaR)
    • Comprehensive Instrument/Balance Sheet Coverage
    • Statutory/GAAP/Tax Accounting Treatments
    • CECL/IFRS9
  • Asset Management
    • Tracking Error
    • Performance Attribution
    • Risk Decomposition
    • Risk Versus Return
    • Scenario Analysis
    • Equity and Fixed Income Portfolios
    • Banking on Bonds
  • Corporate Treasury

Risk Decomposition

KRM is a very flexible platform that offers detail risk decomposition. Risk factors are represented by series of values or returns and combined in a covariance matrix with the necessary additional yield curve and probability of default models. These last two components are necessary to ensure proper and consistent cash flows valuations in multiple period simulations. It is a general framework that can accommodate a wide range of risk factors used to consistently value a broad range of asset classes.

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