StatMR System

The StatMR System supports complex management of market risk in the scope of market risk factors existing in a given institution, including:

  • interest rate risk,
  • currency exchange rate risk,
  • liquidity risk.

The system was developed to meet the challenges brought onto banks and insurance companies by the Basel II and Solvency II Directives. Basel recommendations and NBP regulations concerning market risk are fully implemented. The system may be used by other institutions which want to effectively manage market risk.

StatMR automates analytical and reporting tasks and allows for a wide range of parameterization of the calculated risk statistics.

StatMR is a solution developed in-house by StatConsulting. Because of this we can adjust the offered solution to the individual requirements of the customer and support and develop the dedicated version of software. Thanks to special characteristics of StatConsulting we can offer:

  • a competitive level of pricing,
  • a short period of preparing and deploying the requested changes,
  • assurance of the quality of the whole project.
  • broad range of risk analyses (from methods based on assets and liabilities fitting to advanced methods using simulation models). In every instance the calculated risk indicators are related to the defined risk limits. The system has the capability of:
    • liquidity and interest rate gap analysis, VaR analysis, backtesting, shock and scenario analyses.
  • carrying out statistical analyses and dynamic analyses using a future portfolio prediction mechanism,
  • analysis of risk exposition resulting from instruments with or without fixed maturity date and from derivatives,
  • obtaining information about the exposure to market risk, assuming various market situations and portfolio development scenarios,
  • optimizing the portfolio management process by taking into account the estimated risk,
  • obtaining information about utilization levels of the assumed risk limits,
  • analytical, managerial and supervisory reporting reflecting the current exposition to risk presented using the selected measure methodology (basic and advanced methods), with the possibility of generating ad-hoc reports.