Oracle Risk Manager is a comprehensive asset/liability management solution for measuring and managing interest rate risk, performing balance sheet valuations, and forecasting both net interest income and net income.
Control complexity by implementing a consistent framework for gathering data, measuring risks, monitoring changes, and acting upon them. Capture instrument characteristics at the account level to accurately model balance sheet behavior.
Compute all relevant risk measures. Analyze balance sheet and earnings behavior with income simulation, Earnings-at-Risk (EaR) and static and dynamic gap. Assess value with Value-at-Risk (VaR), determinstic, and stochastic market valuation. Measure broadly or narrowly with portfolio level results or daily cash flows on a single account.
Apply sophisticated stochastic analysis. Generate market valuations of instruments with embedded options, VaR projections, and EaR projections with a highly tuned Monte Carlo simulation process. Choose from four term structure models, two smoothing methods, and two random number generators.
Model specific instrument features and types. Generate instrument level cash flows that take account of caps and floors, lags, teaser rates and unusual payment and repricing frequencies. Accurately model instruments such as conventional loans, step-up loans, negative amortization mortgages, deposits, and derivative products.
Flexibly manage processing and assumptions. Control data and assumption information appropriate to each instrument type. Analyze results according to preferred time and instrument buckets. Store assumptions separate from instrument data in order to flexibly create analytical scenarios.