Duxus Risk Integrated Platform
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Medium Business
Large Business
 Documentation
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Duxus Risk Integrated Platform
Duxus Risk Integrated Platform is the junction of systms focused on financial risk control.
- Market Risk System
- Basle II System
- Multidimensional Credit Risk System
- Operational Risk - Advanced LDA (Loss Distribution Approach)
Each system member of such platform is composed by modules responsible for some features. Joining theses modules and through integration, Élin Duxus can offer a complete system for risk management.
Checkout the appropriated solutions for your business: small, médium and large.
Due to Élin Duxus past experience in risk and financial modeling, we developed a risk system for market risk measuring and also for legal requirements in Brazilian legislation (Basel II).
Market Risk Ssytem
General Features
|- Market-to-market approach
|- Automatic market data updates by Duxus servers
|- Reliable sources: BACEN, BM&F-BOVESPA, ESALQ, NYSE
|- Interactive reports
|- Portfolio segregation
Market Risk Module
|- Parametric EWMA VaR (parametric)
|- Parametric ARCH family VaR (parametric)
|- Monte Carlo VaR
|- Historical VaR (non-parametric)
|- VaR range (non-parametric)
|- Backtesting
|- Volatility report
|- Black & Scholes options pricing
|- Exposure, duration
|- XML Funds profitability
|- Customized benchmarks
|- Sharpe/Treynor reports
|- Multiple analisys reports ("Sonar")
Stress Module
|- Parallel and non-parallel curve shifts
|- Spot stress
|- Stress scenarios
|- Historical values indication
|- Auto-stress generation
ALM Module(Asset Liability Management) - Liquidez
|- Scenario simulation
|- Extra cash scenarios
|- Market prices change scenarios
|- Delay events
|- In advance events
|- Default events
|- Asset and liability rolling
|- Seasonality
|- Derivatives events (futures, swaps etc.)
|- Cash like setting
|- GAP analysis
|- Profit and Loss simulation
|- Cash-like
|- Individual, group or and general settings
Basle II System
General Features
|- Data closure logic to avoid incorrect data usage
|- XML validated reports
|- VXML friendly view
|- Accountability layout for COSIF data migration
ALL Market Risk System modules
|- All Market Risk System modules ar included
Capital Requirements Module
|- PJUR1
|- PJUR2
|- PJUR3
|- PJUR4
|- PCAM
|- PCOM
|- PACS
|- PRM - Internal Model EWMA
|- PRM - Internal Model ARCH
Operational Risk Module
|- Approach setting
|- POPR
|- AIB approach
|- APA approach
|- APAS approach
|- PSTAW10 module integration
Credit Risk Module
|- PEPR
|- Credit risk factor settings by COSIF
|- PSTAW10 module integration
PSTAW10 Module
|- Settings for legal reports
|- DDR
|- DRM
|- DRL
|- DLO
Multidimensional Credit Risk System
General Features
|- Multidimensional analysis
|- Internal and / or external data
|- Third part freedom
|- Customized group cireteria
|- Historical database generation
|- Available for front-office (credit retailer)
|- Automatic economic adta feed
|- Graphical data interface
Causal Module
|- Regression over KRI
|- Advanced Statistics
|- Cenario combinations
Stress Module
|- Economic border values settings
|- Detailed reports
|- Cenario combinations
|- Economic hedge analysis
Credit Risc Module
|- Individual VaR
|- Grouped and Global VaR
|- Individual RAROC
|- Grouped and Global RAROC
|- Pricing
Operational Risk - Advanced
General Features
|- LDA - Loss Distribution Approach
|- Customized loss sources
|- Customized loss tree
|- Customized KRI
|- Virtual KRI - automatic generation
|- Graphical data interface
Causal Module
|- Regression over KRI
|- Advanced Statistics
|- Cenario combinations
Stress Module
|- KRI border values settings
|- Detailed reports
|- Cenario combinations
OpVaR Module - Advanced
|- Many severity models
|- Many frequency models
|- Settings for statistical goodness of fit tests
|- Monte Carlo simulation
|- Loss indexing - monetary corrections
|- Backtesting
|- Use os stress for analysis
|- Settings for historical sample size
|- Additional non real losses possibilities
System Features:
• Modular
• Documented
• Multi-user
• Multi-company
• Historical data record
• Proprietary algorithms
• SSL security protocol
• Dedicated server installed (if locally)
• Browser interface without installation files
• Operational system independent
• No user setting requirement
• User friendly
Target Clients:
Asset managers, brokers or others financial agents interested in control market risk of their investment into just one tool for all funds and investments.
Financial institutions, demanding compliance with Rule 3,490, through rules 3,360, 3,361, 3,362, 3,363, 3,364, 3,365, 3,366, 3,367/3,389, 3,368 and 2,972 and still rules 3,380, 3,464 and 2,804, including XML report already validated.
Institutionals with distributed investments over many asset manager interested in control global risk of their investments, including global exposure calculations, obtained directly from asset managers information.
Institutionals, finantial or not, interested in qualified control over operational risk using LDA - Loss Distribution Approach.
Institutionals, finantial or not, with the need of credit risk measurement and control also in accordance with 3,721 rule.
What make possible to aggregate information into the system is the feature of subdomains inside the same domain, allowing various asset managers to use the system for the same client and much more possibilities.
Check our institution for one of theses targets, because Duxus Risk System is a very important tool when talking about risk control and compliance.
Contact Élin Duxus for furhter information about Duxus Risk System: contact
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