Postbank goes live with SunGard infrastructure
03 August 2011 Bonn
Image: Shutterstock
As a further investment in risk calculation and analysis technology, Deutsche Postbank has selected SunGard's Adaptiv Analytics. The additional infrastructure will calculate and analyse over 30,000 risk simulations per trade across risk factors, while also helping the bank meet regulatory and market changes.
This will allow for fast calculation of Monte Carlo Value at Risk (VaR), a methodology allowing for more flexibility to cover options and option-like securities. Despite the computation bulk, some market participants note the method's advantage in providing the ability to include subjective judgments and other information to improve forecasted probability as compared to traditional historical simulation approaches of VaR calculations in determining portfolio risk.
Dr. Guenther Fiebach, head of market risk and risk analytics at Deutsche Postbank, said, “Our aim is to have full transparency and an in-depth understanding of the sources of risk, including extreme event scenarios…In addition, having a consistent view on the relevant positions and the associated market risks across the enterprise helps us assess, monitor and act upon market risks and opportunities quickly, thereby enhancing productivity.”
This will allow for fast calculation of Monte Carlo Value at Risk (VaR), a methodology allowing for more flexibility to cover options and option-like securities. Despite the computation bulk, some market participants note the method's advantage in providing the ability to include subjective judgments and other information to improve forecasted probability as compared to traditional historical simulation approaches of VaR calculations in determining portfolio risk.
Dr. Guenther Fiebach, head of market risk and risk analytics at Deutsche Postbank, said, “Our aim is to have full transparency and an in-depth understanding of the sources of risk, including extreme event scenarios…In addition, having a consistent view on the relevant positions and the associated market risks across the enterprise helps us assess, monitor and act upon market risks and opportunities quickly, thereby enhancing productivity.”
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