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Sigma Delta - A Value Proposition from Asymptotix for Real Time VaR, Risk Capital, CAD4 and Solvency II

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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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