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Riskpro Capabilities Allow Hedge Optimization Processes According to...



8211;- IRIS integrated risk management ag announced the release of new capabilities for Hedge optimization processes according to IAS 39.



Due to the mixed-model approach some financial instruments are valued at fair value (e.g. derivatives) or at amortized cost (e.g. loans & receivables). When entering in a hedge relation, the hedged items change the valuation method from amortized cost to fair value. This mixed-model approach opens a space of optimization regarding future (balance sheet) volumes and P&L changes.



One goal can be to minimize the volatility of the P&L. While this is trivial when the potential hedged items and hedging instruments are known, it is quite complex when there are many (e.g. 1000) potential contracts for a hedge relation. The optimization can only be performed by using special mathematical optimization techniques like gradient, steepest descent, Newton, stochastic search and others.



riskpro's8482; offers a very sophisticated and flexible methodology for hedge optimization. "What we offer is probably the most advanced tool in the market since we are combining riskpro's8482; strong feature of dynamic contract forecasting with several mathematical optimization techniques", says Andreas Jaek, Vice President Business Development.



Besides that it covers also interest rate risk, default risk, fair value, impairment and IFRS specific book entries.



For more information on these and other riskpro's8482; functionalities, please contact Andreas Jaek, Vice President Business Development, +41 (0)44 388 59 59, www.iris.ch.



riskpro's8482; enables to measure and monitor risk and profitability enterprise-wide with a single cost effective integrated analysis infrastructure. riskpro's8482; covers ALM, Exposure Analysis, Value at Risk, Funds Transfer Pricing, Dynamic Simulation, Limits, Historization, Basel I and II, Risk-Adjusted Performance Analysis, Credit Exposure, Credit Loss, Operational Risk, IAS/IFRS 32/39 and complies with the Sarbanes-Oxley requirements for accuracy of results. The underlying universal contract-centric data model and calculation engine of riskpro's8482; ensures precision and consistency in all results. It is recognized by customers and established consultants as the most integrated solution on the market.



IRIS AG, founded in 1992 in Zurich, continuously develops, maintains and supports its riskpro's8482; financial analysis infrastructure. Selling, implementation and consulting are executed worldwide by IRIS AG and in cooperation with a number of partners such as Accenture, ATOS Origin, Bazy i Systemy Bankowe, d-fine, Intracom, NCR Teradata Financial Services, Tata Consultancy Services, etc.






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