Module 6.- Risk Analysis & Stress Testing Value-at-Risk (VaR) & Economic Value-at-Risk (EVaR) calculations

With the advent of today’s Basel requirements, regulators have become more exacting when it comes to risk analysis and stress testing. Focus is now firmly on risk based analytics, ensuring adequate liquidity and capital positions are in place for any event that may befall your organization.

The Risk Analysis & Stress Testing module allows for in-depth risk analysis, including interest rate modeling.
Value-at-Risk (VaR) calculations are easy to determine with Tuff 360. Rate shocks and stochastic analyses, such as Monte Carlo income simulation, determine your organization’s short-term interest rate risk; the risk of not achieving budgeted financial margin over the next 12-months.

Economic Value-at-Risk (EVaR) calculations is coupled with duration analysis within the Risk Analysis & Stress Testing module in measuring longer-term interest rate risk. A great side benefit of EVaR is the calculation of the market (fair) value of all assets and liabilities on the balance sheet, as well as determining the market value of equity.
Stress testing is intended to provide an overview of performance in case serious risk materializes, whether originating from loss of business, customers or yield in changing economic environments and to ensure organizations have an adequate level of capital to withstand these risks. Tuff 360’s what-if and scenario analysis capabilities are combined within the Risk Analysis & Stress Testing module to ensure the most stringent stress test scenarios can effortlessly be undertake.

Once completed, stress test results can be compared in the Tuff 360’s Sandbox.