MKI targets risk management market

MKI targets risk management market

MKIRisk, a division of Midas-Kapiti International (MKI) has launched Risk Vision, a suite of integrated risk management applications supporting credit, market and liquidity risk management, as well as global limits management. The new product comes from the integration of four separate applications - RV Data, RV Analytics, RV Carma and RV Limits.

RV Data provides a real-time data consolidation repository, RV Analytics and RV Carma support credit, market and liquidity risk calculations and RV Limits offers a rules-driven approach to limits management.

Simon Creed, chief executive officer of MKIRisk, says: "The high degree of integration achieved between the different applications has allowed us to realise our ultimate aim of creating a single, integrated solution for enterprise-wide risk management."

The most significant addition to the functionality of RV Limits is the enhancement of the existing online pre-deal checking feature to support Web-based limits checking, says Creed. The new feature enables dealers to check whether a trade would break an agreed credit limit, by entering details of a proposed deal prior to execution. The facility is platform independent and was developed using Java technology, supporting both Microsoft or Netscape-based Web browsers.

Creed says the use of a standard Web-browser reduces the cost of roll-out, by removing the need for a high-speed connection between the trader workstation and the main system server. "As well as being fast and easy to install, it also eliminates the complexities involved in version control across a large number of end-users in multiple locations," he adds.

Other enhancements to RV Limits include improvements to the system’s Netting Agreements functionality and the introduction of a Linked Trades feature. This allows complex financial products to be broken down into separate components to simplify processing, and enables the system to support a far wider range of instruments.

The RV Analytics component of Risk Vision has also been redeveloped to support the full spectrum of option types, from simple Caps & Floors to highly structured interest rate option products, says MKI.

Recent and planned enhancements to the RV Carma simulation engine have included additions to the current product coverage with support for mortgage-backed securities and credit derivatives. Refinements have also been made to the advanced simulation methodologies employed, such as ‘fat tails’ and principal components decomposition, while credit risk simulations have been enhanced by the addition of correlations between credit migrations and defaults, says MKI.

Creed comments: "The close links established between RV Analytics, RV Carma and RV Limits now enable a comprehensive set of limits to be established and monitored in real-time, including risk statistics such as duration and value at risk."

The new products were on display at the Risk Management 2000 conference in Geneva. At the show, MKI also announced that Germany's Bayerische Landesbank has contracted for the purchase of RV Limits and RV Carma as components of a single integrated solution for credit and market risk management.

The product will eventually be rolled out to support credit and market risk management throughout the bank’s network of international branches, although initial installation will take place at Bayerische Landesbank’s Munich head office and at its branch in London.

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