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Sophis Launches Risque 6.1 To Address New Risk Management Challenges

The solution addresses risk associated with structured products, security finance, counterparty risk and reporting.

Sophis, a provider of cross-asset, front-to-back portfolio and risk management solutions, announced the release of Sophis RISQUE 6.1, the latest version of its trading and risk management solution for investment banks.

New features include a new screen within the Clause Builder application where users can construct pay-offs by combining clauses. The process requires no additional coding, making it quicker, easier and more secure to define structured products, Sophis said. A large selection of pre-configured arithmetic formulae and standard pay-off clauses are available with the solution.

The new release also sees an improvement in the asset classes supported by RISQUE, particularly for security finance / Delta One activities including CFDs, basket swaps and stock loans.

Other improvements include a SABR volatility model which has been integrated into RISQUE for pricing interest rate derivatives. A wide range of new instruments can be priced and managed out-of-the-box, such as CME-cleared swaps, callable range accrual notes, callable capped floaters and Brazilian inflation bonds, the vendor said.

RISQUE 6.1 also incorporates a new risk reporting tool including the ability to calculate Potential Future Exposure (PFE), which provides risk managers with a clear view of their current and potential future exposure to different counterparties.

New features also include a complete stress testing toolbox which enables users to run industrial strength stress tests across their entire portfolio, and iReporting, a fully integrated client reporting application designed to meet high-volume, industrialised reporting processes, as well as ad hoc report requirements.

Sophis said it provides a powerful and flexible data visualisation tool along with a large set of pre-canned reports. Functionality includes analytics consolidation, results storage and drill down capabilities.

Samer Ballouk, head of product management and business development at Sophis, commented: “We are continually allocating more time and investment into improving the RISQUE platform for investment banks and this latest version is no exception. New advancements in security finance, structured products, stress testing, counterparty risk and reporting are all direct responses to our clients’ needs."

Melanie Rodier has worked as a print and broadcast journalist for over 10 years, covering business and finance, general news, and film trade news. Prior to joining Wall Street & Technology in April 2007, Melanie lived in Paris, where she worked for the International Herald ... View Full Bio

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