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Modules
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Razor is offered as a series of modules
that can be licensed individually or collectively. This modular approach
enables customers to retain their investment in existing intellectual property
if required. The main Razor modules are:
Market Risk Module
Function
Razor’s Market Risk module provides all functionality required
for regulatory and internal market risk management including:
- Value at Risk reporting: calculation of
Value at Risk (VaR) using either Historical Simulation or Monte
Carlo simulation.
- Full drill-down: ability to drill down
into the underlying scenarios, rates and positions providing
full results transparency.
- External aggregation: ability to
aggregate P/L results calculated externally from Razor for
aggregation into the overall VaR results.
- Scenario analysis: extensive scenario
analysis functionality including sensitivity analysis, OLAP
reporting and Stress Testing.
- Back Testing: fully regulatory compliant
Back Testing module including Theoretical P/L calculation.
The Basic Analytics module is a pre-requisite for the Market Risk module.
Limit Management Module
Function
The Razor Limit Management module provides the comprehensive
limit and excess management functionality required from an
Enterprise-wide limit management solution. This functionality
includes:
- Broad set of limit functionality: pre-settlement
limits, settlement limits, limits in reduction, multi-currency,
spike limits, revolving or non-revolving limits, warning
thresholds and flexible tenors.
- Diverse set of limit types: Razor enables
limits and exposure to be measured at any aggregation level
including Counterparty, Industry, Region, Country, Product
Type, Internal business unit, etc.
- Counterparty Management: Definition and
maintenance of counterparty information. Full support for
flexible counterparty hierarchies and multiple parents.
- Excess Management: Comprehensive excess
management functionality to ensure that appropriate action
is taken in the event of limits going into excess.
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Basic Analytics Module
Function
Razor’s Basic Analytics module supports the calculation
of current and potential exposure using a Mark to Market plus
add-on approach.
Pricing support is provided for a comprehensive set of products
including:
- Cash FX
- Securities
- Interest Rate Derivatives
- Money Market
- FX Products
- Commodities
- Equity Derivatives
- Credit Derivatives
- Structured Products - The following functionality is included
in this module to support exposure measurement:
- Pre-deal checking – sub-second pre-deal checking
of new deals against limits
- What-if functionality – sophisticated modeling
of impact of portfolio changes on credit exposure
- Netting and Collateral - full support for netting
or collateral agreements
- Capability to extend product coverage and use own
analytics/pricing models
Advanced Analytics
Function
Razor’s Advanced Analytics module supports the calculation
of potential exposure using Monte Carlo simulation. This provides
a more accurate measurement of credit exposure. Credit exposure
can also be lowered significantly for well diversified counterparties
due to economic offsetting effects within portfolios. Razor’s
advanced analytics module includes Razor’s distributed
processing architecture which provides the accuracy of Monte
Carlo simulation with near real-time performance.
All of the functionality provided by the Basic Analytics module
is supported in the Advanced Analytics module. This includes
broad product coverage, pre-deal and what-if capability, and
support for netting and collateral agreements. The Basic Analytics
module is a pre-requisite for the Advanced Analytics module.
Commercial Lending Module
Function
Razor’s Commercial Lending module provides the product
coverage and limit management framework that meets the credit
risk management needs of an Institutional Bank’s Lending
portfolio. Licensing this module enables a client to integrate
its lending and trading portfolios within a single credit
risk management framework.
Key Features Include
- Comprehensive product coverage: lending
products include Project Finance, Trade Finance, Guarantees
and Syndicated Loans
- Choice of calculation methodologies:
multiple calculation methodologies from Basic (Principal
or Principal plus Interest) to Advanced (Monte Carlo Simulation)
- Foreign currency limits: accurate simulation
of potential foreign exchange risk from foreign currency loans
- Cross-border risk: management of exposures
resulting from cross-border transactions
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