China Construction Bank (CCB) has implemented KRM from Fiserv as its market risk measurement and management application.
Used to manage credit risk, interest-rate risk and market risk, KRM incorporates advanced risk concepts developed by Robert A. Jarrow, an originator of the Heath-Jarrow-Morton multi-factor term structure model. KRM helps financial institutions measure market exposures to determine limit compliance, develop risk mitigation strategies, allocate regulatory capital and evaluate market returns.
“Managing market risk accurately and in a timely manner is becoming more complex as financial instruments, trading methods and corporate structures continue to change,” says Michael Leung, chief information officer for CCB (Asia). “KRM’s integrated tools and multiple methodologies will help us analyze and control market risk more efficiently for trading and non-trading products.”
“KRM includes traditional approaches to value at risk and credit-adjusted value at risk, as well as a more modern, dynamic multi-period credit-adjusted value at risk,” says Clement Ooi, vice president and managing director of Asia-Pacific operations for Risk and Performance Solutions from Fiserv. “This flexibility means market risk managers at CCB (Asia) can replicate legacy systems, but take advantage of multiple VAR horizons and an analysis period that is user defined.”
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