Banco BBA Creditanstalt has implemented a customised version of Financial Engineering Associates' (FEA) value-at-risk (VaR) technology for managing risk in the Brazilian market.
The customised VaR system was built by FEA partner Ascent Financial Technologies and includes MakeVC, VaRworks and Varlib modules.
Alberto Suen, Ascent Financial Technologies CEO, says: "The main objectives of our work at BBA were to integrate FEA’s Varlib with the firm’s other systems, and to satisfy BBA´s need for a VaR analysis tool that incorporates market risk factors specific to Brazil."
Enio Bonafé Mendonça de Souza, director of risk management at BBA, comments: ”With the FEA VaRdelta technology BBA traders can rapidly choose candidate operations that optimise our hedging strategies by fully exposing the VaR and cashflow impacts of any transaction. The FEA VaR system gives us very fast performance; It allows intra-day VaR estimates, robust stress testing, and multiple reporting options.”
BBA will also use the system to support Brazil's new national requirements for online reporting of cash positions and transactions, says Suen.