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Prometeia integrates breakthrough Equation Manager into Risk Management platform
SW release

Prometeia integrates breakthrough Equation Manager into Risk Management platform

November 2017

 
 
 

Prometeia, the global leader in Risk Management consulting and software solutions, announced the release of ERMAS Equation Manager, an innovative and advanced component of ERMAS Suite, the Prometeia Enterprise Risk Management solution. 

 

“The new development is a fundamental step in the direction of making our platform more and more flexible and ‘open’ to setup customization. This editor has been developed to create an in-built modelling environment able to manage mathematical equations and formulas defined by the user. These functions are embedded into the system parameterization and are used to model behavioral dynamics and evaluate complex financial products, among other things,” comments Massimo Pedroni, Head of International Business at Prometeia. “Our clients will find this solution to be an effective answer to their increasing need for flexibility in the parameterization of our Suite.”

 

Users of ERMAS will greatly benefit from this new feature, which allows them to model advanced mathematical and statistical relations instead of using the standard functions offered by the system. Users will not be required to code in one specific language to define algorithms, since the scripts will be generated through an Equation wizard based on an intuitive meta-language. 

Within the Equation Manager, formulas can be built via drag-and-drop of variables and operators: the user can select parameters and functions from pre-defined lists and then link them together. The variables that can be used include all input and output information managed by ERMAS engines, which can be interlinked to create an open library of satellite models, pricing functions and other custom parameters.

The system supports the following equations:

 
  • Excel-like functions, with any kind of variables;
  • Operators, both logical and arithmetical;
  • Constants;
  • Specific ERMAS functions, such as benchmark rate calculation or interest rate term structure calculation.
 

ERMAS pivot reporting and graphical dashboard tools are also available to analyse the trends of hedging portfolios and to support the user in the configuration of the hedging strategies, selecting the most relevant breakdown dimensions and output variables.

The first modules which benefit from this new framework are:

ERMAS FTP MODULE:

  • functions to calculate the benchmark rate value or pillar curve value at punctual or multiple fixing dates, starting from ERMAS Market Data: 
  • functions to select the ECB haircut from ERMAS Eligible Assets master data;
  • functions to select values from specific deals’ data fields;
  • reference functions to other FTP components.
 

ERMAS IFRS 9 MODULE:

  • PD term structure definition using functions such as Weibull or Gamma;
  • Definition of LGD satellite models.
 

ERMAS, the new generation of value-centric risk solutions, is used by over 200 clients in more than 20 countries to support their critical decisions and to comply with local and international regulatory requirements.