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Yields

This powerful tool designed by quants for quants, traders and risk managers, allow a full automated analysis of financial analytics. Already in place for well-known financial applications like Calypso, OpenGamma, Quantlib and Summit, the tool includes following main functions:

  • Model Validation: Yields tests mathematical models like an experienced model validation team. With an increasing complexity of the models in difficult market contexts, it becomes crucial for banks to improve the model validation framework and provide clear KPIs to the traders and risk managers. Yields controls whatever the models tested comply with the following criteria:
  1. Stability
  2. Arbitrage relationships
  3. Performances
  4. Other KPIs
  • Model Quality Regression Testing: Banks moving towards a unified quantitative library providing pricing services across the different business lines, require an efficient way for regression testing. YIELDS greatly reduces time to market for the introduction of new models and facilitate the full testing life cycle: even non-quantitative profiles can run the tests and provide consolidated results to the quant experts.
  • Model Risk Monitoring and Provision: YIELDS checks the quality of valuation and risks across the full trade portfolio at any time during the day and automatically create transparency by visually representing model risk.
  • Prudent Valuation: A unique system to evaluate the new AVA components. The Yields platform calculates various AVA’s (additional valuation adjustments) as required by the regulatory technical standards on prudent valuation of the CRR (capital requirements regulation).

YIELDS is the first model risk management platform for the financial industry

For more details related to the model risk AVA, please read the following paper from the European Bank Authorities, with a more specific focus on the article 11 of this document:

https://www.eba.europa.eu/documents/10180/336425/EBA_CP_2013_28.pdf

“Where institutions are unable to use the approach defined in paragraph 3, they shall apply an expert based approach to estimate the model risk AVA. The expert based approach shall consider all of the following: complexity of products relevant to the model; diversity of possible mathematical approaches and model parameters (where those model parameters are not related to market variables); the degree to which the market for relevant products is one way; the existence of unhedgeable risks in relevant products; and the adequacy of the model in capturing the behaviour of the pay-off of the products in the portfolio. Institutions shall notify competent authorities of the models for which this approach is applied, and the methodology used to determine the AVA.”

Please read the YIELDS flyerYields_brochure_GMS

A dedicated white paper describing a business case on a complex pricer will follow shortly.