Starting in 2008, the terms of the New Basel Capital Accord became effective, introducing new methods of advanced risk management for banks. In order to meet the requirement of implementing new methods of market risk management and measuring, StatConsulting has prepared a special tool to measure this kind of risk - the StatMR application.

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

The StatMR system assists the bank in market risk management from the perspective of commercial banks, at the same time taking into account various financial instruments in the trading book.

StatMR is a solution developed by StatConsulting to offer bank analysts a wide array of risk analysis tools. These range from methods based on assets and liabilities fitting to advanced simulation models. In every instance the obtained risk ratios are related to the risk limits defined by the bank. Among others, the system supports liquidity and interest rate gap analysis, VaR analysis, back-testing, stress-testing, and scenario analysis.

By using a bank portfolio forecasting mechanism, the StatMR system is capable of performing static as well as dynamic analyses. The employed data processing mechanisms provide the means to analyze the bank's risk exposure due to positions with determined and undetermined maturity, and positions on derivatives.

The StatMR system provides the means to:

• implement an advanced market risk servicing model, which conforms to the NCA requirements and NBP recommendations,
• obtain information about the bank's exposure to market risk, assuming various market situation and portfolio development scenarios,
• optimize the portfolio management process by taking into account the estimated risk,
• obtain information about utilization levels of the assumed risk limits,
• utilize an advanced mechanism for generating reports about bank positions and their exposure to market risk, with the option of an ad-hoc report creation,
• decrease the capital requirement by lowering risk due to better estimation procedures.

StatMR is an original solution developed by StatConsulting. This enables the tailoring of the offered product to the individual needs of the customer, as well as subsequent maintenance and development of the dedicated software. Our specific mode of operation guarantees competitive costs and short deployment time, while maintaining high quality of the delivered product.