Sigma Delta - A Value Proposition from Asymptotix for Real Time VaR, Risk Capital, CAD4 and Solvency II
Sigma Delta (δΣ) is a Value Proposition from Asymptotix: Real Time VaR, Risk Capital, CRD IV and Solvency II.
Siag Price Manager (PM)
- Golden (Price) Data Management
- Data Structure derived from Application PM serves
- Provides Market Data (Quality) Management
- Provides Historicized Internal Data Management
- PM is a Data Quality Control Layer
- PM can service a variety of existant applications e.g. Model Development Environments (MDE), Appliances, Operational Management Systems.
Who/What requires Siag Price Manager
- Any High Performance Compliance or Market Risk Management requirement
- Any Requirement to service a Quantitative Client Application with Golden External or Internal Historic Data series
- Solvency II is calculated at the 1/200 one-year VaR level. The law requires 99.5% one-year VaR capital
Siag Risk Engines (δΣ)
- Appliance Servicing Requirement of Basel III Capital
- Requirements for the Trading Book (Market Risk)
- Computes Value at Risk (VaR) to Customer Required Standard @ t-1 EoD in Near Real Time (t-h)
- Requires Siag Price Manager to operate at fully EFFICIENT performance frontier
- As standard product is compliant with CAD4 standards of VaR out of the box
- Siag Risk Engines compute VaR at Legal Entity, Portfolio, Geography, Instrument levels as standard; integrates to Customer Data Structure requirement.
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