VTEN Simulation Model

The SRI VTEN balance sheet risk management system is the most powerful and easiest-to-use simulation model available.

It provides a powerful risk analysis capability, including tools for developing strategies that enhance balance sheet performance.

A "parallel modeling" capability allows for a two-dimensional what-if analysis to be undertaken, where the risk-reward performances of several alternative balance sheet structures can be compared for a range of interest rate scenarios or stochastic rate environments. In this way, the performances of different investment strategies can be compared.

Differentiating features include:

•   Multiple entity, multi-model processing, with multi-layered consolidation
•   Simultaneous multi-scenario processing, resulting in reduced execution times
•   The ability to specify financial characteristics at transaction level, allowing inclusion in a single portfolio,
    of the full range of similar transactions. (This reduces model size, whilst retaining accuracy)
•   Availability of a range of term structure processes for Monte Carlo modeling, including H&W, BDT, HJM   and others
•   A seamless interface with Excel
•   Accurate modeling of a wide range of balance sheet and derivative products
•   Sophisticated internal models for balance switching between portfolios, prepayments, fees,
    prepayment penalties, credit losses, securitization, option exercise rules
•   Access to third party models for prepayments, CMO analysis and credit default forecasting
•   Interface to user models for prepayments, CMO analysis and credit default forecasting
•   Multi-currency at the product level
•   Instrument level investment portfolio analysis, producing economic values for multiple rates, OAS plus
    all "Greeks"
•   Alternative balance sheet strategy evaluation
•   In-line trade transaction performance evaluation
•   Very fast execution, making a full Monte Carlo analysis of the balance sheet for a large bank possible
    on an intra-day basis.

A standard VTEN model implementation provides a comprehensive set of reports showing the current balance sheet risk profile. The reports also show the performances of the "Passive" balance sheet structure and a strategy devised (by the user) to enhance risk/reward performance. The transactions required to achieve these changes are determined by VTEN and specified for the user.

All key risk measures are calculated for all portfolios and the balance sheet. These include durations, convexities, market values, OASs, gap reports as well as market value and earnings at risk numbers.

For information on additional features, please see Planning and Budgeting.