Beruflich Dokumente
Kultur Dokumente
Release R15.000
June 2015
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Table of Contents
Introduction 4
Purpose of this Guide 4
Intended Audience 4
System Requirements 5
Hardware 5
Software 5
Architectural Overview 6
Web Server - Internet Information Services (IIS) 7
Enable IIS Security 7
IIS configuration if working on (64-bit) operating system 8
DefaultApp Pool - Network service 9
Uninstall Before Reinstall 10
Installing Insight Risk Application 10
IIS Configuration after Installation 14
Adding User in Insight Risk Database 15
Configuring Market-Risk module in Insight Risk 18
Market Risk - Home Page 18
Reference Data 20
Currencies 20
Data Publishers 20
Interpolation Methods 20
Market Curves 20
Market Indexes 21
Risk Factor Methods 21
Source Types 21
Volatility Types 21
Confidence Factors 22
Statistical Distribution 22
Calculation Criteria 22
Trading Units 22
Instruments 23
TermStructure Code 23
Yield Curve Modelling 24
Dash Board View 24
Term Point View 25
Chart Display 26
View Interpolated Yields 27
Value At Risk 28
Volatilities 28
Correlations 28
Price Histories 29
Setting VaR Parameters 30
Dash Board View 30
Parametric VaR 31
Monte Carlo VaR 31
Historical VaR 32
Marginal and Incremental VaR 33
Marginal VaR 33
Incremental VaR 33
Stress Testing 34
Scenario Building Interface 34
Debt Pricing 36
Bond Pricing 36
FRN Pricing 37
Updating Bond Details 38
Intended Audience
The guide intended for all levels of business users who will install and maintain the Insight Risk product.
Hardware
l Intel based server with a minimum of 2 x 3GHz processor with ability to add additional processors as required
Note that the precise server configuration will depend upon processing volumes.
Software
T24 Software
l T24 Banking Server
Server Software
l Microsoft Windows Server 2003 Enterprise Edition or later Microsoft .Net Framework 3.5
l Microsoft SQL Server 2008 Enterprise Edition or higher (with latest SP installed)
l Microsoft SQL Server Reporting Services (SSRS) 2008 (component of SQL Server)
Client PC Software
l Microsoft Windows XP or later
As a standard interface Insight Risk is interfaced with T24 using DW.EXPORT. However, interfacing with other sources could be possible with
additional development.
l Go to Control Panel Programs Programs and Features Turn Windows features on or off and enable all the security features for IIS and
restart the system.
l Go to C:\Windows\System32\inetsrv\config\applicationHost.config
It is recommended to take the backup of InsightRiskDB Database whenever the reports are run.
It is recommended to deploy the Insight Risk and Reports deployment MSI in the following way.
l You will then be prompted with an installer splash screen from the installation setup wizard.
l The below screen shot shows the progress of the Market Risk Installation setup.
l You will be prompted with an installer splash screen from the installation setup wizard, click Next to continue the installation.
l You will be prompted with the Server Settings screen. Set SQL Server name, Insight Risk Database, and ReportServer in which data-
base and server it is located.
l On the Reports & Folder Settings page select the Default instance and clicking the Close and Continue button to deploy the Market-
Risk reports.
l Add the current Domain Windows User and assign the RoleID as 3 and Display name as below
l If the application is installed in a system with XP windows configuration or more lower versions, add the below login.
We can expand the trading unit by clicking the + button to know the list of child trading units and by clicking the select button we can Re-price
and display Holdings of the selected Trading Unit /Portfolio.
By clicking the Select button, we can see the list of holdings available for that trading unit/Portfolio.
All the calculations setups and configurations are done using the reference data tabs. Reference data is maintained for pre defined risk cal-
culation criteria. In Insight Risk (Market Risk) module, following reference data have been provided.
Currencies
Can be used for defining currency code, description and day count basis (Pre-Defined)
Data Publishers
This can be used to define various combination of Holding Period and Confidence Factors based on user requirement to calculate VaR
Interpolation Methods
Pre defined to linear interpolation method and Cubic Spline method.
Market Curves
This can be used to create various market curves for individual currency under marked Indexes such as LIBOR, MIBOR, etc..,
Source Types
Source Types can be modified to add Term point source for term structure construction
Volatility Types
Insight Risk uses a pre defined methodologies for volatility and correlation
Statistical Distribution
Insight Risk has pre defined Normal Distribution method.
Calculation Criteria
Calculation criteria are to be updated for all portfolio / Trading Unit for VaR calculation. During VaR calculations the values are picked up from
this table.
Trading Units
Here we need to define / set up trading units and portfolio hierarchy.
Instrument Types
To define or to set up the instrument types used in our system. There are few pre “defined values added into it.
TermStructure Code
We can define the TermStructure code based on the price history available or used in the system to calculate the volatility, correlations and
VaR.
Insight Risk can be setup to calculate and store yield curves and interest rates curves for term structures.
l Flexible term structure definition, to allow for the definition of both standard curves and specific house curves.
l Ability to map data from different sources (MM, Bonds, Futures, Swaps) to par curve points, so for example money market rates may
be used at the short end of the curve, followed by blending with FRA rates or Futures rates and then use of Swap rates or benchmark
bonds to constitute the long end of the curve
l Linear interpolation of points along the yield curve
l Derivation of Zero Coupon Curves from the Par Curve using the Bootstrap approach
From the Dash Board view, Add link takes to the yield curve addition page. (Add or Select required Term Structure)
If the yield curve being constructed is a benchmark curve, check the box. Else, leave this unchecked. This will be reflected when pricing
bond over a Benchmark.
l Currency:
Currency is selected from the drop down menu based on the underlying currency of the term structure.
l Interpolation method:
l Market Index:
Will be either House or LIBOR depending on the index of the term structure. Additional Market Index can be setup from the Reference
Data
l Market Curve:
l TermStructure Code:
Will be the unique code and it is linked to price history so that yield curves will generate properly.
Once we have added all this detail, the term structure is now added to the Dash Board of yield curves on the yield curve modeling page.
Displays the computed Discount Rate, Zero Rate and Forward Rate derived from Par rates.
Chart Display
Displays in chart for the above computed rates.
Volatilities
The volatilities for the selected instruments can be calculated in Insight Risk. The volatilities are calculated based on the date range selected
and also depends upon the instruments and its yield curve.
Correlations
The correlation between the instrument can be identified / calculated in Insight Risk for the selected instruments and the date range.
Value At Risk:
l Historical VaR
Descriptions:
l Trading unit “ the trading unit / portfolio for which calculation criteria is being set
l Interpolation method “ STRAIGHT for trading units having bonds. Else, leave blank.
l Market Index “ select from drop down for trading units having bonds. Else, leave blank.
l Market curve “ select from drop down for trading units having bonds. Else, leave blank.
l Risk factor generation method “ CASH for trading units having bonds. Else, leave blank.
l Risk factor mapping method “ weighted duration method for bonds. Else, leave blank.
l Risk data publisher “ needs to be updated for all the trading units from the drop down list.
Tabular View:
Graphical View:
Marginal VaR
Enter the marginal percentage uplift and update to compute the Marginal VaR.
Incremental VaR
By selecting the Issuance and the nominal value, click the Calculate Incremental VaR to get the values.
Three scenarios can be built at a time with entering three parallel shifts in the yield curve (in bips). It can be defined for either of the following
(1) Par Curve (2) Zero curve (3) Discount.
Insight Risk has three pricing functionality that can be used to price illiquid debt securities.
Bond Pricing
l Issuance - Select the issuance that needs to be priced. (This is added from the Instruments page in Reference Data)
l Settlement Date - The date of settlement of the bond. This will be current date, if pricing for the current day.
o From the drop down select whether its Dirty Price or a Clean Price.
FRN Pricing
For pricing FRNs select FRN Pricing from the menu. There will be a popup to enter the bond details, as depicted below.
l Issuance - Select the issuance that needs to be priced. (This is added from the Instruments page in Reference Data)
l Last reset rate - The rate at which the bond was last reset. i.e. œCurrent Indicator Rate + Quoted Margin
In the Cash Instrument Form select Fixed Rate Bond or Floating Rate Bond depending on the type of bond being priced.
Once you have clicked the following form will be opened to add the bond details:
l Redemption date - date of redemption (MM/DD/YYYY). Can be the date of maturity of non callable
l Periodicity - from the dropdown select whether annual, semi-annual, quarterly or monthly
l Day basis - from the dropdown select whether 30/360, 30/365, ACT/360 or ACT/365
Adding Benchmark
Select Instruments from the Reference Data page. From the dropdown select Benchmark Bond and click on Add. It will open Insight Risk
Benchmark Instrument Form. Add all the information in the form as described below:
l Spread (%) - spread over defined term structure for the benchmark
l Default term structure - term structure (yield curve) defined for the benchmark
Install the Insight Risk Reports using the instruction given in 1.2.2.
The lists of Market Risk Report available in the Insight Risk are:
l Holdings Report
l Price History
l ValueAtRisk Report
For Example: When you click the Run button the reports will be opened with the output in case there is no parameter to be passed.
To install Insight Risk update file (.seq extension), which is the outcome / output of any script fixed by development team and sent to client as
an update file. Go to Insight Risk menu > packages > Install updates. Browse the update file (.seq file) and then click the install button.
Pack Scripts “ To create an Encrypted (.seq file) file onto the same folder where the script file was placed .This is for development purpose
hence not highlighted as part of standard menu
Pack scripts are hidden to the clients as it is used for the development purpose alone. These Menus will be released as part of the Base data-
base for Market Risk.
xxxx_Import_process_log Table:
This will show what are all the process happened during the DataLoad.
Above tables are created during the time of Data load. Here 20120422 is the MIS_DATE, which is taken from BNK_COMPANY staging table,
from which we update Rundate table in Insight Risk, originally being the extract date.
XXXX_Import_ Process_ Log table - used to log a procedures Information which ran during the time of Insight Risk Data Load, where
XXXX is the Run date.
XXXX_Import_Exception_ log table - Used to log a procedure information which raised any error during the time of Insight Risk data load
with Proper Exception details, where XXXX is the Run date.