Market and Asset Modelling

Market curves

We have enabled a multi-currency (EUR, GBP, and USD) pricing framework for both assets and liabilities. Our system supports a variety of interest curves, including IBOR, OIS, regulatory EIOPA Risk Free, EIOPA VA, BMA Risk Free and BMA Standard curves, as well as custom curves.

 

Additionally, our framework incorporates rates volatility surface, stochastic rates models, and inflation curves.

Regulatory curve modelling

In addition to enabling EIOPA curve construction, Fentics has implemented EIOPA's methodology for estimating volatility adjustment parameters. This allows for real-time estimation of these parameters.

 

Additionally, volatility adjustment (VA) parameters can be subjected to stress testing or Analysis of Change (AoC) analysis, offering a more comprehensive understanding of credit scenarios. Same functionalties are availabe for BMA Standard curve 

Wide asset coverage

A wide array of instruments, including cash, equity and property, fixed or zero-coupon bonds, floating bonds, floaters with cap/floor, callable bonds, amortising bonds, interest rate swaps, cross currency swaps, rates cap/floor/collar, rates swaptions, inflation swaps and linkers, and cash flow instruments (such as mortgages) are standard parts of Fentics' asset modelling.

 

We provide all Solvency II Standard Formula Capital Requirements (SII SCRs) and a wide range of analytics (dv01, key rate dv01, cs01, gamma, break-even bei01, vega, duration, spread duration, etc.) as standard features.

 

Each asset class supports granular Profit and Loss (PnL) analysis to break down the impact of various market factors.

 

Furthermore, cash flow projections are readily available for liquidity or asset-liability cash flow matching analysis.

Portfolio approach


Regardless of whether your assets are public, over-the-counter (OTC), or private instruments, and whether they are in a single or multiple currencies, they can be modeled, reported, and viewed together under portfolio layers in any reporting currency.


We also support asset transaction history, requiring only incremental change data for continuous tracking.


Analysis of Change (AoC) and stress testing can be generated for the entire portfolio to understand the impact of market factors on market value, Solvency SCRs, and analytics. These analyses are conducted at the asset level, providing granular details for a comprehensive understanding.