BRE Bank Hipoteczny - System for calculating and reporting the exposure to market risk

Project details

  • Date

     14/05/2015

  • Client

     mBank Hipoteczny (former BRE Bank Hipoteczny)

  • Task

     System for calculating and reporting the Bank’s exposure to market risk

  • Category

     Banking

  • Website

     Visit online

Business challenge

The task was to implement a system for calculating and reporting the Bank’s exposure to market risk according to internal and supervisory requirements.

Solution

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:

  • VaR models, including two complementary approaches to value at risk modeling,
  • scenario analysis,
  • stress tests.

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.

Results

  • Availability of a wide range of daily and monthly reports concerning market risk, which can be generated by internal and external recipients
  • Insight into calculation process
  • Flexibility of system configuration and its modifications or extensions that can be applied by the Bank

 

The system is a solution combining a wide range of statistical analyses with the flexibility and openness not available in other solutions.

 

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.

http://mhipoteczny.pl/en/


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