The task was to implement a system for calculating and reporting the Bank’s exposure to market risk according to internal and supervisory requirements.
Algolytics used its proprietary solutions and developed a dedicated IT system together with the specialists from BRE Bank Hipoteczny.
The system implemented in BRE Bank Hipoteczny produces reports presenting market risk in various views:
Reporting includes various options of value at risk decomposition and visualization as well as model quality analysis (back-testing).
The system also prepares reports presenting market situation and the dynamics of change for significant risk parameters.
The solutions applied at the Bank lets users view and manage an extensive database of historical reports.
The implemented system’s reporting engine lets the Bank employees define the visual form of the produced documents with precise detail.
mBank Hipoteczny (former BRE Bank Hipoteczny) is the largest specialist mortgage bank in Poland, playing the leading role in the market of commercial real property finance and issue of covered bonds.
The Bank is the biggest issuer of covered bonds in Poland, with approx. 70 % market share.