Home >  yenbridge >  Services >  リスク管理体制構築サポート 

Risk management system construction support



Market risk management tool

Although we perform internal management system construction support for companies regardless of their types of industry, we would like to introduce the simple risk management tool offered to investment management business and hedge fund here.

Items Content
System requirements Microsoft Excel： 2000/2002/2003
Others： Bloomberg
Price calculation Interest swap and interest rate option
Interest rate curve O/N： Unsecured call
1Week〜11Month： LIBOR
1Year： Swap Rate
Option computation
  • Cap rate calculation
  • Adjustment of volatility smile
    		•
    VaR calculation function
  • Variance-Covariance Method
  • Historical Simulation Method
  • Monte Carlo Simulation Method
    		•
    Other risk management functions BID/ASK Spread


    Sample of market risk management screen



    Cases we have handled

  • Position management tool for traders of Japanese hedge fund
    　　Offer of program for position and market risk management of hedge funds mainly invested in small and medium-sized domestic stocks


  • Risk management tool for middle office of foreign-affiliated hedge fund
    　　Offer of tool for market risk management of hedge fund targeting currency exchange


  • Japanese investment management corporation
    　　Offer of tool for market risk management accompanying the operation of derivatives


  • Japanese trust bank
    　　Offer of verification tool for trust accounts and offer of second opinions


  • Regional bank
    　　Consultation in package introduction of ALM（Asset Liability Management）



    • For concrete details about the services and reference fee scale, please click here to contact us. Thank you.