Kastle® Risk Management can also be deployed with Oracle Database 11g Release 2.
Kastle® Risk Management is now Oracle Exadata & Exalogic ready

Overview

KASTLE Universal Lending Financial Intermediaries continue to seek avenues to deploy funds in maturing markets, whereby they are exposed to various risks in the marketplace. Kastle® Risk Management is an effective web-based market risk management solution that enables implementation of Risk Control and Mitigation initiatives. It provides:
  • An understanding of Risks taken by an institution
  • Measure Risk exposure of the organization at various levels
  • Control Risk by implementing suitable strategies
With the objective of incorporating the latest of developments in the area of market risk and banking regulations, Kastle® Risk Management, is a very comprehensive package which offers a plethora of tools at the disposal of the Risk Manager. The ability to arrive at well-informed and well-guided decisions is made much simpler by the analysis done using Kastle® Risk Management. Kastle® Risk Management system has presence in South Asia, APAC, Middle East and Africa.

Over 100 Customers Worldwide

100+ Kastle® Risk Management

Product Overview

Kastle® Risk Management is one of the comprehensive market risk management solutions in which transactions entered or cash flow components are used as a base to arrive at a risk measure, known in the industry as the VaR number, covering most markets, including, Forex, Fixed Income, Money, Equities, Derivatives and Commodity markets..Also, It provides capital charge measurements for market risk by using both standardized approach and internal VaR models according to RBI norms for Basel II Framework.

One of the best features offered by Kastle® Risk Management is the ability to provide to the user the flexibility to select the methodologies and parameters to suit the functioning and policies of their individual banks.

Below are the modules available in Kastle® Risk Management System

VaR is a measure of the maximum potential change in value of a portfolio of financial instruments with a given probability over a pre-set time horizon. Kastle® Risk Management has in built engine to calculate VaR using the three commonly used methodologies of Variance Covariance (also called Risk Metrics), Historical Simulation and Monte Carlo Simulation.
VaR of a particular instrument or a portfolio is dependent on a number of parameters other than portfolio position and instrument cash flows. Kastle® Risk Management provides flexibility in defining these parameters by providing multiple choices and techniques, wherever required. It includes:

  • Confidence Level: Probability of potential loss
  • Holding Period: Actual, Scaling Up
  • Return Computations: Relative, Lognormal
  • Volatility and Correlations: Moving Average and Exponential Weighted Moving Average Method
  • Decay Factor
  • Interpolation Techniques: Linear, Logarithmic
  • Cash flow Mapping: Duration Mapping, Volatility Mapping

Capital Charge: Standardized Approach: Kastle® Risk Management System has exclusive module to compute capital charge using Standardized Approach which comply Basel II guidelines. The module is fully parametric approach which enables maximum flexibility. The report for Standardized Approach has been shown based on top to bottom hierarchy with drill down facility for granular level analysis.

Capital Charge: Internal Model Approach: Kastle® Risk Management System has exclusive module to compute capital charge using VaR based Internal Model Approach which comply on RBI as well as Basel II guidelines. Components of the approach such as Stressed VaR and Normal VaR have been computed based on Historical Simulation VaR Model.

Scenario Analysis for Stress Testing
Scenario analysis allows the user to define a scenario that a user has in mind, and view the behaviour of the portfolio under the same. This is a kind of stress test performed on the scenario, where the user stresses the normal market rates for the various risk assets.

Back testing
Back testing is an analytical tool which helps to measure the accuracy of VaR Model where actual P&L has been compared to potential loss (VaR). The difference between actual P&L and potential loss (VaR) indicates the accuracy of the VaR Model.

What If
Often a financial institution has the opportunity to enter into a huge structured deal, which may have an effect on its capital charge. In order to arrive at the incremental VaR, on account of such a transaction, the system provides a facility for the user to identify this deal as a simulated deal. The deal is entered in the Treasury system and uploaded into the Kastle Risk Management system like the other trades. While calculating the VaR number, the user chooses the position set using the What If.

Data Management: Kastle® Risk Management has interfaced with the treasury systems for cashflow positions as well as for rates for the various risk assets. The system has a standard text file gateway for upload of data. This interface is extremely user friendly and ensures all data integrity during data upload to avoid data inconsistencies at a later stage. Apart from Kastle® Treasury, Kastle Risk Management™ have flexibility to interface with third party Treasury Systems such as Kondor+, Finacle Treasury, Lasersoft ITMS (Polaris). The system has facility to schedule upload process for reducing manual intervention.Data Management: Kastle® Risk Management has interfaced with the treasury systems for cashflow positions as well as for rates for the various risk assets. The system has a standard text file gateway for upload of data. This interface is extremely user friendly and ensures all data integrity during data upload to avoid data inconsistencies at a later stage. Apart from Kastle® Treasury, Kastle Risk Management™ have flexibility to interface with third party Treasury Systems such as Kondor+, Finacle Treasury, Lasersoft ITMS (Polaris). The system has facility to schedule upload process for reducing manual intervention.

  • Multiple in built VaR Models
    • Historical Simulation
    • Monte Carlo Simulation
    • Risk Metrics
  • Web enabled application which can be accessed over intranet comfortably
  • Wide range of instrument coverage for major market segments such as debt market, money market, equity and foreign exchange and commodity market.
  • Multi-currency solution which allows user to access exposures in each of the defined currencies and generate MIS currency-wise or consolidated in the reporting currency.
  • Supports qualitative testing of internal models by providing stress testing and back testing functionalities
  • The system also allows the user to observe the change in the overall VaR number due to the hedge positions.
  • It has a powerful and convenient data management utility for data capture from treasury systems and market data agencies systems.
  • Parameterized module which gives flexibility to configure as per requirement
  • Capital Computation using RBI-Basel II – Standardized Approach as well as Internal Model Approach.
  • Automation of process from data upload to report generation using facility of scheduled jobs
  • Rich collection of MIS Repots with drill down and exporting facility
Kastle® Risk Management system is a Web-enabled, multi-entity, comprehensive market Risk Management product that allows an institution or a portfolio manager to measure various sources of market risk, risk contribution mix and provides tools to control and manage the market risk totally.
Kasle™ Risk Management system has been built with three tier architecture. The first tier includes the application server, also called as the web server where GUI resides. User friendly GUI has been built on advanced Microsoft Dot Net framework.The second tier (middle tier) includes the business logic also termed as the financial server. The middle tier improves performance, flexibility, maintainability, reusability and scalability by centralizing process logic. Business logic of Kastle® Risk Management system is based on Pro*C technology where different techniques such as multi threading are used to optimum utilization of resources.

The third tier is referred as the database tier, which provides database management functionality. The data management component ensures that the data is consistent throughout the distributed environment providing features such as data locking, consistency, and replication. Oracle database has been used for data management which is most stable and rigid database.

Architecture
  • Web based application: Kastle® Risk Management System is web based application which can be accessed through intranet without any dependency of a particular desktop machine
  • In built VaR Engine: Kastle® Risk Management system is having its own VaR Engine and not dependant on any external engine.
  • Regulatory Compliance: Kastle® Risk Management System has extensive modules of Capital Charge Computation using Standardized and Internal Model Approach. Both modules comply with Basel II Guidelines.
  • Easy Interface: Kastle® Risk Management system is flexible interface which can communicate for data with Kastle® Treasury as well as third party treasury systems.
  • Process Automation – Complete process of Data Upload to Computation can be automated using Job Scheduler facility to minimize manual intervention
  • Email Intimations: Kastle® Risk Management system has facility to inform concerned person about status of different process through email
  • Comprehensive and improved risk management through a wide range of reporting and analytical tools
  • Efficient and effective VaR computation through built-in industry best practice approaches like variance-covariance approach or risk metrics approach, historical simulation, Monte Carlo simulation, Hull & White model, and DGVT
  • Incisive insights and better decision-making capabilities through highly targeted and customized reports and analyses, multiple techniques, user-definable parameters (e.g., confidence level, holding period, volatility)
  • 100% accuracy in execution made possible through functionalities like historical simulation and “what-if” analyses
  • Improved productivity and reduced costs—automated analyses lead to 50% increase in productivity and swift decision-making, while cutting costs incurred on salary by 50%

Industries We Serve