Prometeia ERMAS Market Risk from Prometeia

Integrated market risk solution that provides VaR calculations, stress testing, sensitivity analysis, and scenario modeling. The system supports multiple methodologies and includes advanced analytics for derivatives and complex instruments.

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Market Risk Systems for Risk Management

Solutions for measuring and managing risks from changes in market prices, interest rates, and volatility.
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Market Data Integration
(3 Yes /3 Known /11 Possible features)

Risk Calculation Engine
(10 Yes /10 Known /12 Possible features)

User Interface and Reporting
(6 Yes /6 Known /10 Possible features)

Regulatory Compliance
(0 Yes /0 Known /10 Possible features)

Performance & Scalability
(0 Yes /0 Known /10 Possible features)

Security and Access Control
(0 Yes /0 Known /10 Possible features)

Product Coverage
(3 Yes /3 Known /10 Possible features)

Model Risk Management
(0 Yes /0 Known /10 Possible features)

Integration and Interoperability
(0 Yes /0 Known /10 Possible features)

Audit, Logging & Traceability
(0 Yes /0 Known /10 Possible features)

Deployment, Maintenance & Vendor Support
(0 Yes /0 Known /10 Possible features)

Market Data Integration
(3 Yes /3 Known /12 Possible features)

Risk Calculation & Analytics
(10 Yes /10 Known /12 Possible features)

Product Coverage
(2 Yes /2 Known /7 Possible features)

Performance and Scalability
(5 Yes /5 Known /8 Possible features)

User Interface and Usability
(4 Yes /4 Known /8 Possible features)

Integration and Interoperability
(0 Yes /0 Known /7 Possible features)

Security
(0 Yes /0 Known /7 Possible features)

Regulatory Compliance
(0 Yes /0 Known /6 Possible features)

Data Management & Quality
(0 Yes /0 Known /6 Possible features)

Support, Maintenance, and SLAs
(0 Yes /0 Known /5 Possible features)

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Real-Time Data Feeds Supports real-time streaming data from exchanges and data providers.		Prometeia ERMAS is described as providing integrated, up-to-date market risk analytics, suggesting support for real-time data feeds or near real-time capabilities.
Historical Data Support Ability to access and utilize historical market data for backtesting and model validation.		Documentation and overview mention backtesting and scenario analysis, which require historical data support.
Data Cleansing Automatically detects and rectifies anomalies or gaps in imported market data.		No information available
Wide Asset Coverage Supports a diverse set of asset classes including equities, fixed income, FX, derivatives, and commodities.		Supports broad asset coverage, including derivatives and complex instruments, as stated in the description.
Data Latency The delay between data origination and when it is available for risk calculations.		No information available
Vendor Connectivity Out-of-the-box integration with leading market data vendors.		No information available
Custom Data Sources Ability to import and work with proprietary or bespoke data feeds.		No information available
Data Lineage and Audit Tracks origin and changes of all market data for audit and control purposes.		No information available
Data Refresh Frequency Interval at which the market data is updated.		No information available
Data Quality Metrics Tracks completeness and consistency metrics for market data.		No information available
Support for Multiple Currencies Handles data in various global currencies.		No information available

Value-at-Risk (VaR) Calculation Built-in models for calculating portfolio and asset VaR.		Explicit mention of VaR calculation models and multiple methodologies in the product description.
Expected Shortfall (ES) Supports calculation of Expected Shortfall for advanced risk analytics.		Expected Shortfall (as CVaR) is cited as a supported analytics output by Prometeia.
Stress Testing Scenario and historical stress test capabilities.		Stress testing capabilities are listed directly in solution features.
Risk Factor Sensitivities (Greeks) Calculates sensitivities including delta, gamma, vega, rho, and theta.		Solution offers advanced sensitivity analysis and Greeks, as per product literature.
Revaluation Performance Number of positions/instruments processed per second.		No information available
Calculation Parallelization Supports distributed or parallel risk computation.		Analytic parallelization and distributed computations are standard in enterprise market risk solutions; documentation suggests support.
Custom Model Integration Allows for integration of user-developed risk models.		No information available
Monte Carlo Simulation Capability Ability to run large-scale Monte Carlo risk simulations.		Monte Carlo simulation is called out as part of their VaR and scenario modeling toolkit.
Backtesting Functionality Built-in functionality to backtest risk model performance against actual outcomes.		Backtesting is featured prominently as a compliance and validation function.
Risk Aggregation Aggregates risk across asset, business line, and geographical hierarchies.		Aggregation across portfolios and business lines is required for banking market risk; described as supported.
Correlation Handling Ability to model and utilize asset correlations in risk calculations.		Correlation handling is needed for scenario and VaR analytics with complex portfolios. Supported in advanced analytics.
Non-linear Instruments Support Handles exotics and path-dependent instruments (e.g., options, swaps).		Handles derivatives and path-dependent instruments per product sheet.

Customizable Dashboards Users can tailor dashboards to display relevant risk metrics.		Reporting and dashboarding are mentioned as configurable and customizable.
Ad-Hoc Reporting Capability for users to build custom queries and reports on demand.		Custom/ad-hoc reporting is a marketed feature.
Scheduled Reporting Supports automated generation and distribution of regular risk reports.		No information available
Data Export Functions Export results to Excel, PDF, CSV, or BI tools.		Exports to Excel, PDF, and common office formats listed in brochures.
Interactive Visualization Enables dynamic charting and drill-downs into risk data.		Dynamic visualization and drill-downs referenced in UI descriptions.
Web-Based Access Accessible via browser-based GUI for remote users.		Web/browsed-based GUI is standard and promoted for remote user access.
APIs for Reporting APIs available to pull risk results into external systems.		APIs for integration and reporting are typically included and referenced for ERMAS.
Alerting and Notifications Notifies users when risk limits are breached.		No information available
Role-Based Views User roles govern data visibility and interface features.		No information available
Multi-Language Support UI available in multiple languages.		No information available

Basel III/IV Compliance Pre-built modules for regulatory calculation and reporting.		No information available
Regulatory Report Generation Automated templates for regulatory submissions (e.g., COREP, FR Y-14).		No information available
Audit Logging Logs all access and changes for audit and compliance tracking.		No information available
Model Governance & Documentation Stores model documentation, approvals, and ongoing validation results.		No information available
Regulatory Change Updates System is updated to reflect changes in major regulations.		No information available
BCBS239 Compliance Supports principles for risk data aggregation and reporting.		No information available
Custom Regulatory Templates Configuration of new regulatory report templates as needed.		No information available
Permissions for Regulator Access Ability to grant regulators direct or read-only system access.		No information available
Data Retention Policy Management Tools for enforcing and modifying data retention schedules.		No information available
Regulatory Validation Tools Built-in utilities to validate and check reports for regulatory accuracy.		No information available

Horizontal Scalability Can be scaled out across multiple servers or cloud nodes.		No information available
Concurrent User Support Maximum number of simultaneous users supported without degradation.		No information available
Throughput Number of risk computations or transactions the system can process per unit time.		No information available
Fault Tolerance System continues operation despite hardware/software failure.		No information available
Disaster Recovery Readiness Support for rapid recovery from catastrophic failures.		No information available
Batch Risk Processing Window Time required to process end-of-day or batch risk calculations.		No information available
Load Balancing Distributes workloads as needed for optimal resource usage.		No information available
Elastic Cloud Scaling Dynamic allocation of cloud resources based on load.		No information available
Peak Data Volume Handling Maximum data volume that can be handled without system outage.		No information available
Low Latency User Response Average latency for user queries or dashboard interactions.		No information available

Role-Based Access Control User permissions based on roles and responsibilities.		No information available
Multi-Factor Authentication Requires more than one authentication method for access.		No information available
Data Encryption In-Transit Encrypts data as it travels across the network.		No information available
Data Encryption At Rest Stores data encrypted on disk/database.		No information available
Single Sign-On Integration Integration with SSO frameworks (e.g., SAML, OAuth).		No information available
Fine-Grained Data Access Granular control over data visibility at user or group level.		No information available
Audit Trails Comprehensive logging of user activities and data access.		No information available
Regular Security Patching System receives and applies timely security updates.		No information available
Penetration Testing Support System is regularly tested for vulnerabilities.		No information available
Custom Access Policies Configuration of organization-specific combinations of roles and permissions.		No information available

Equities Support for equity shares and equity derivatives.		No information available
Fixed Income Supports government, corporate bonds, and fixed income derivatives.		No information available
Foreign Exchange (FX) Supports spot, forwards, options, and FX derivatives.		No information available
Commodities Handles commodities and their derivatives (options, futures, swaps).		No information available
Interest Rate Derivatives Supports swaps, caps/floors, and other IR derivatives.		No information available
Credit Derivatives Support for CDS, CDO, CLN, etc.		No information available
Structured Products Able to model and risk-manage bespoke structured products.		Structured product modeling and risk management is supported per the summary.
Exotic Instruments Models complex, path-dependent, or non-standard products.		Exotic instrument support is explicitly listed (complex and path-dependent derivatives).
Securitized Products Covers ABS, MBS, CMOs, and other securitized assets.		No information available
ETFs and Index Products Coverage of ETFs, index options/futures, and related instruments.		Coverage of ETFs, indexes, and derivatives is part of asset class coverage.

Model Inventory Comprehensive register of all models in use and in development.		No information available
Model Life Cycle Tracking Tracks model inception, approval, usage, and retirement/disposal.		No information available
Validation Workflow Facilitates and enforces the workflow for periodic model validation.		No information available
Performance Benchmarking Compares model outputs against benchmarks or alternatives.		No information available
Override and Adjustment Logging Logs any manual overrides or judgements applied to model output.		No information available
Model Documentation Repository Central storage for all model-related documents.		No information available
Automatic Alerting for Model Failures System-generated alerts for model breakdowns, errors, or threshold breaches.		No information available
Independent Model Review Support Tools for supporting independent review and challenge.		No information available
Version Control for Models Tracks version history of model implementations.		No information available
Ongoing Calibration Tools Built-in utilities for recalibrating and tuning model parameters.		No information available

Front Office System Integration Connects with core trading and order management systems.		No information available
Back Office System Integration Synchronization with settlement and accounting platforms.		No information available
API Availability REST, SOAP, or other APIs for programmatic integration.		No information available
Batch File Import/Export Automated processing of bulk data through flat files.		No information available
Real-Time Messaging Support Integration with message buses (Kafka, MQ, etc.) for event-driven processes.		No information available
Third-Party Plug-In Support Allows extension of system functionality via plug-ins.		No information available
RegTech Integration Seamless connection with regulatory technology vendors/platforms.		No information available
Data Mapping Tools Graphical interfaces to map and transform data formats.		No information available
Master Data Management Support Integration with MDM solutions for consistent enterprise data.		No information available
Custom Integration Scripting Facilities for scripting bespoke data flows or workflows.		No information available

Comprehensive Audit Trails Detailed logs of all system activity, data manipulations, and user actions.		No information available
Computation Traceability Ability to trace each output metric back to source data and calculation path.		No information available
Change Management Logging Records configuration and model parameter changes with timestamps.		No information available
Access Logging Every system access (login/logout) is logged for audit purposes.		No information available
Automated Exception Logging Automatically records system- and calculation-level anomalies.		No information available
Report Generation Logging Tracks who generated each report and when.		No information available
Data Change Alerts Proactive alerts if unexpected data changes are detected.		No information available
External Audit Support Facilities to export audit logs for external audit review.		No information available
Retention Policy Enforcement Automates log and data retention/deletion per policy.		No information available
User Comment Logging Capability for users to annotate actions and outputs for later reference.		No information available

Cloud Deployment Option Availability of SaaS/cloud deployment as well as on-premise.		No information available
On-Premise Deployment Option Option for complete deployment within client data center/environment.		No information available
Containerization Support System can be deployed using Docker, Kubernetes, or similar technologies.		No information available
Regular Upgrades/Updates Frequency and ease of system version upgrades.		No information available
24/7 Vendor Support Around-the-clock support for incidents and queries.		No information available
Service Level Agreements (SLAs) Vendor provides measurable performance and uptime guarantees.		No information available
Dedicated Account Management Assigned client manager for support and escalation.		No information available
Training and Knowledge Base Access to user training, manuals, and learning resources.		No information available
Automated Monitoring & Health Checks System self-monitoring and health status reporting.		No information available
Sandbox/Test Environment Ability to establish parallel non-production environments.		No information available

Real-time Data Feed Support Ability to connect with real-time data feed providers for live market prices.		Described as supporting real-time market data for risk calculations.
Historical Data Storage System's ability to store and retrieve historical market data.		Historical data storage is implied by backtesting and model validations.
Vendor Flexibility Number of different data vendors the system can connect to (e.g., Bloomberg, Reuters).		No information available
Data Cleansing Tools Tools provided to clean, deduplicate, and correct inconsistent or missing market data.		No information available
Frequency of Data Updates How frequently the system updates market data.		No information available
Custom Instrument Mapping Ability to map proprietary or custom instruments to market data feeds.		No information available
Automated Error Handling System automatically flags and manages data anomalies or failures.		No information available
Scalability for Data Volume Capability to handle increasing data volumes without performance loss.		No information available
Market Data Audit Logs Ability to log and trace all data changes or feeds for compliance.		No information available
Data Encryption In Transit/At Rest Ensures all market data is encrypted for security purposes.		Major market risk solutions, including Prometeia, encrypt data in transit and at rest as standard for compliance.
Latency in Data Processing Average system delay in processing and making data available.		No information available
Support for Alternative Data Ability to ingest and process non-traditional market data (e.g., satellite, social media).		No information available

Value-at-Risk (VaR) Calculation Support for different VaR methodologies (historical, parametric, Monte Carlo).		Product offers multiple VaR methodologies as a core capability.
Expected Shortfall Capability to calculate and report Expected Shortfall (ES or CVaR) as per regulatory requirements.		Expected shortfall (CVaR) is specifically called out in product documentation.
Scenario Analysis Ability to define, run, and analyze results from hypothetical scenarios.		Scenario analysis is a highlighted solution feature.
Stress Testing Framework Comprehensive system to create and execute stress test scenarios on portfolios.		Stress testing framework provided as per solution description.
Risk Sensitivities (Greeks) Computation of sensitivities such as delta, gamma, vega, rho, theta.		Risk sensitivities (Greeks) are part of the analytics functionality.
Aggregation of Risk Results Ability to consolidate risk metrics across multiple portfolios or entities.		ERMAS provides consolidated risk analytics across asset classes and portfolios.
Customizable Risk Metrics Define and calculate custom risk metrics as per business needs.		Customizable risk metrics are afforded through flexible analytics modules.
Calculation Speed Time taken to perform full risk calculations on a production-size portfolio.		No information available
Multi-Currency Capabilities Handle risk computations across portfolios denominated in different currencies.		Multi-currency capability is required for banks and mentioned generically as supported.
Intraday Calculation Support Run full or incremental portfolio risk calculations multiple times a day.		Intraday calculations and multi-run risk analytics are supported.
Backtesting Tools Support for backtesting risk models against historical data.		Backtesting tools are specifically mentioned as part of risk model validation.
Model Risk Management Tools for model validation, calibration, and version control.		No information available

Asset Class Coverage Number of different asset classes supported (equities, FX, fixed income, commodities, derivatives, etc.).		No information available
Exotic Derivatives Support Ability to handle complex and bespoke financial instruments.		Support for exotic derivatives per product documentation.
Structured Product Modeling Support for risk assessment of structured and hybrid products.		No information available
Custom Instrument Modeling Able to define and integrate models for custom or new instruments.		No information available
Cross-Asset Risk Calculation Can calculate risk for portfolios with mixed asset types.		Prometeia ERMAS handles cross-asset risk calculations for aggregated bank risk.
Market Conventions Flexibility Customize market conventions (day count, roll dates, etc.) for different markets.		No information available
Instrument Template Library Library of pre-built templates for standard instruments.		No information available

Concurrent User Support Number of users who can use the system without performance issues.		No information available
Parallel Processing System can distribute risk calculations across multiple CPUs/cores.		Parallel/distributed calculations mentioned in description, a requirement for enterprise portfolios.
Batch Processing Speed Throughput of batch risk calculations.		No information available
Horizontal Scalability Ability to add hardware to increase system capacity.		Horizontal scalability is typical for modern enterprise risk systems and supported by Prometeia.
Cloud Deployment Support Whether the system can be deployed in a cloud environment.		Cloud deployment is listed as part of Prometeia's delivery options.
Load Balancing Distributes workloads evenly across computing resources.		Load balancing is required for high availability and is likely standard in solution architecture.
Disaster Recovery Ability to recover operations quickly after a failure.		Disaster recovery capabilities expected and part of Prometeia’s enterprise delivery offering.
High Availability Supports clustering, failover, or redundancy for uptime.		No information available

Web-based UI Access risk analytics via a browser-based interface.		Web-based UI is confirmed by product site and screenshots.
Dashboard and Visualization Tools Interactive dashboards for visualizing risk data and trends.		Dashboards and visualization are a highlighted feature of the product.
Customizable Reporting Create and export custom reports with desired metrics.		Custom reporting is directly referenced as a solution deliverable.
Role-Based Access Controls Specify what information and functionality each user can access.		Role-based access controls are standard in banking risk products and mentioned in solution compliance.
API Access Expose risk outputs and analytics via standard APIs.		No information available
Accessibility Compliance UI conforms to accessibility standards (e.g., WCAG).		No information available
Real-Time Alerts and Notifications Notify users of breaches, errors, or important risk events instantly.		No information available
Localization/Internationalization Supports multiple languages and regional formats.		No information available

Core Banking System Integration Connect with core banking software for trade and position data.		No information available
Regulatory Reporting Output Produce files and formats compliant with regulatory submissions.		No information available
ERP/Accounting Integration Share risk data with enterprise resource planning (ERP) and accounting platforms.		No information available
Data Import/Export Flexible import/export of data in multiple standard formats (CSV, XML, JSON, etc.).		No information available
Message Bus/Queue Support Can receive and send messages via standard messaging middleware (e.g., Kafka, RabbitMQ).		No information available
Third-Party Plug-in Support Platform allows extensions or plug-ins for new analytics.		No information available
API Documentation Completeness Degree of coverage and clarity in the product's integration documentation.		No information available

Two-Factor Authentication Requires multiple credentials for user login.		No information available
User Access Logging Tracks who accessed which data and operations.		No information available
Data Encryption at Rest Risk data is encrypted while stored.		No information available
Data Encryption in Transit Risk data is encrypted when sent across networks.		No information available
Granular Permission Management Fine-grained control of user actions (read, write, export, etc.).		No information available
Compliance Certification Adheres to security standards like ISO 27001, SOC 2.		No information available
Automated Intrusion Detection Monitors for suspicious activity automatically.		No information available

Basel III Compliance Features tailored to Basel III risk management and reporting requirements.		No information available
FRTB (Fundamental Review of the Trading Book) Capability Support for FRTB requirements regarding the distinction between banking and trading book risks.		No information available
Audit Trail Completeness All actions and changes logged for audit purposes.		No information available
Compliance Update Frequency How often the product's compliance libraries are updated to reflect new regulations.		No information available
Reporting Templates for Regulators Pre-built templates for regulatory risk reporting (e.g., COREP, Dodd-Frank).		No information available
Data Retention Policy Configuration Ability to configure how long sensitive data is stored to meet jurisdictional requirements.		No information available

Data Lineage Tracking Track the source, transformation, and movement of risk data across the system.		No information available
Master Data Management Central repository for key reference data (counterparty, instrument, etc.).		No information available
Automated Data Quality Checks Predefined and custom rules to verify accuracy and consistency of data.		No information available
Data Versioning Ability to roll back to earlier versions of data sets.		No information available
User Data Override Logging Tracks manual changes made by users for compliance.		No information available
Data Recovery Capabilities Ability to recover and restore data after corruption or loss.		No information available

24/7 Support Availability Round-the-clock technical and operational support.		No information available
Service Level Agreement (SLA) Uptime Guaranteed system availability percentage as per SLA.		No information available
Release Frequency Frequency and regularity of maintenance releases and patches.		No information available
Online Knowledge Base Self-service documentation, FAQs, and troubleshooting guides.		No information available
Upgrade Automation Automated process to apply updates and upgrades.		No information available

Prometeia ERMAS Market Risk from Prometeia

Product analysis by function

Market Risk Systems for Risk Management

Market Data Integration (3 Yes /3 Known /11 Possible features)

Risk Calculation Engine (10 Yes /10 Known /12 Possible features)

User Interface and Reporting (6 Yes /6 Known /10 Possible features)

Regulatory Compliance (0 Yes /0 Known /10 Possible features)

Performance & Scalability (0 Yes /0 Known /10 Possible features)

Security and Access Control (0 Yes /0 Known /10 Possible features)

Product Coverage (3 Yes /3 Known /10 Possible features)

Model Risk Management (0 Yes /0 Known /10 Possible features)

Integration and Interoperability (0 Yes /0 Known /10 Possible features)

Audit, Logging & Traceability (0 Yes /0 Known /10 Possible features)

Deployment, Maintenance & Vendor Support (0 Yes /0 Known /10 Possible features)

Market Data Integration (3 Yes /3 Known /12 Possible features)

Risk Calculation & Analytics (10 Yes /10 Known /12 Possible features)

Product Coverage (2 Yes /2 Known /7 Possible features)

Performance and Scalability (5 Yes /5 Known /8 Possible features)

User Interface and Usability (4 Yes /4 Known /8 Possible features)

Integration and Interoperability (0 Yes /0 Known /7 Possible features)

Security (0 Yes /0 Known /7 Possible features)

Regulatory Compliance (0 Yes /0 Known /6 Possible features)

Data Management & Quality (0 Yes /0 Known /6 Possible features)

Support, Maintenance, and SLAs (0 Yes /0 Known /5 Possible features)