Financial Risk

A critical challenge facing financial institutions is the analysis and measurement of market risk, whilst in parallel they must contend with managing their assets and liabilities to meet strategic, risk and liquidity management targets.

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At SONDA we have provided our customers with two financial risk solutions, to resolve these requirements. These are Vision Plus and Metrics, and both approach these issues in an efficient and prompt manner, to provide support to decision-making.

SONDA Metrics measures and analyzes the market risks for a financial institution. The system measures and analyzes the value at risk (VaR) of investment portfolios, using the JPMorgan method, using risk factors that affect the portfolio and measuring its diversification (parametric VaR), or estimating historical scenarios (historical VaR). SONDA Metrics uses the methods applied at this international bank, but adapted to the characteristics of Latin American markets and to local regulations.

The main components include Parametric VaR, Historical VaR, Stress, and Backtesting.

SONDA Vision Plus is a system that manages assets and liabilities to meet strategic planning and risk assessment targets and is aimed at banks and financial institutions. It provides a complete analysis of term, rate and currency mismatches facing banks and financial institutions.

Furthermore, this information can be provided for various banking operations or for subsets (portfolios) defined by the user, including the possibility of drilling down to transactional levels. This solution provides a comprehensive analysis of liquidity and mismatches at the institution. It measures the risk associated with a financial margin, in accordance with the relevant period terms applied to the corresponding assets and liabilities.

The main features are:

  • Gap reports by term, currency and duration.
  • Asset and liability management reports (ALM).
  • Liquidity reports.
  • Profitability reports.