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Calypso Risk / Adenza Risk from Calypso Technology (Adenza)
Unified market risk management including real-time VaR, sensitivities, stress testing, scenario analysis, margin analytics, and regulatory compliance tools for brokerage firms.
More about Calypso Technology (Adenza)
Product analysis by function
Market Risk Systems for Risk Management
Software for measuring market exposure through VaR (Value at Risk), stress testing, and scenario analysis across diverse market conditions and asset classes.
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Market Data Integration
(8 Yes /8 Known /10 Possible features)
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Real-Time Data Feeds Supports automated, real-time streaming of prices and quotes from exchanges and OTC sources. |
Calypso/Adenza is positioned as a real-time risk platform; official docs and marketing note real-time VaR and market exposure. Supports streaming market data and prices. | |
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Historical Data Support Enables handling of large volumes of historical data for backtesting and scenario construction. |
Historical VaR and scenario analysis are featured, implying deep support for large historical datasets. | |
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Multiple Data Source Integration Allows integration with various market data providers (e.g., Bloomberg, Reuters, ICE, proprietary). |
Claims integration with all major market data providers across multiple asset classes, including Bloomberg and Reuters. | |
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Data Cleansing Capabilities Systematically corrects and fills gaps in market data for improved reliability. |
System documentation highlights robust data cleansing and quality control routines for risk inputs. | |
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Reference Data Management Supports mapping and enrichment of assets with reference and master data (e.g., ISIN, CUSIP, sector). |
Supports reference/master data enrichment (ISIN/CUSIP mapping), required for risk management at scale. | |
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Latency The time taken to update the system with new data. |
No information available | |
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Data Storage Capacity The maximum volume of historical market data the system can store and process. |
No information available | |
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Event-based Data Triggers Ability to process data update triggers based on market events (e.g., circuit breakers, corporate actions). |
Supports advanced analytics including triggers based on corporate actions and market events. | |
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Normalization Engine Ensures all data inputs are standardized for downstream analytics. |
Marketing materials make explicit reference to normalization of data for cross-asset analytics. | |
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Market Specific Data Parsing Recognizes and appropriately parses data from asset class-specific feeds (FX, rates, equities, commodities). |
Covers FX, rates, equities, commodities; feed-specific data loaders mentioned in solution briefs. |
Risk Methodologies
(10 Yes /10 Known /11 Possible features)
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Value at Risk (VaR) Models Supports parametric, historical simulation, and Monte Carlo VaR calculation methods. |
VaR: parametric, historical simulation, Monte Carlo—all are standard in Calypso's risk engine. | |
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VaR Horizon Customization User-defined horizons (e.g., 1-day, 10-day) for VaR computation. |
User-defined VaR horizon configurable in the UI and APIs for 1-day, 10-day, etc. | |
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Confidence Level Setting Customizable VaR confidence intervals (e.g., 95%, 99%). |
Confidence interval (e.g. 99%, 95%) is settable per portfolio and at the VaR configuration level. | |
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Stress Testing Tools Configurable stress testing for idiosyncratic and systemic events. |
Customizable stress scenarios are a built-in function; documentation and sales materials confirm coverage. | |
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Scenario Analysis Framework Create and run hypothetical or historical scenarios across portfolios. |
Scenario analysis and what-if tools are described as core features. | |
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Backtesting Capabilities Compares predicted risk measures with actual outcomes to validate models. |
Backtesting of risk models against realized P/L available in risk analytics menu. | |
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Expected Shortfall (ES) Calculation of Expected Shortfall (CVaR) to supplement VaR. |
Expected Shortfall (CVaR) listed in technical risk analytics documentation. | |
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Incremental and Marginal VaR Calculates risk contribution or reduction by portfolio components. |
Marginal and incremental VaR can be displayed by position and portfolio in the UI. | |
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Multi-Factor Risk Models Integrates systematic risk factors across asset classes. |
Multi-factor risk models are in product documentation across asset classes. | |
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Model Performance Metrics Built-in analytics to report and monitor risk model accuracy. |
Reports include historical model error and regulatory/validation backtesting. | |
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Number of Models Supported Number of distinct risk modeling methodologies supported. |
No information available |
Asset Coverage
(9 Yes /9 Known /10 Possible features)
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Listed Equities Direct support for global equities and related derivatives. |
Asset list covers global equities and derivatives. | |
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Fixed Income Instruments Coverage for government, corporate, municipal bonds and their derivatives. |
Bond analytics (government, corporate, and municipal) included in risk modules. | |
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FX Products Handles spot, forward, and options in foreign exchange trading. |
FX spot, forward, swaps, and options referenced in asset coverage docs. | |
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Commodities Supports commodity spot, forwards, future contracts and options. |
Commodities are referenced (energy, metals, agriculturals, etc.) with analytic support. | |
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Structured Products Ability to analyze custom and structured notes, CLNs, etc. |
Structured note analytics and risk are supported, including custom derivatives. | |
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Complex Derivatives Covers exotic options, swaps, and other non-vanilla derivatives. |
Exotic and hybrid derivatives are detailed in solution offerings and technical presentations. | |
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Private Assets Integration of private placements, PE, VC positions if relevant. |
Supports integration of private credit, PE, and illiquid positions for look-through risk. | |
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Crypto & Digital Assets Capability to assess risk on digital tokens and crypto derivatives. |
Digital and crypto assets are referenced in recent Adenza product updates. | |
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Asset Class Extensibility Support for user/administrator-driven addition of new instruments. |
Allows users/admins to extend/define new asset types using available APIs. | |
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Number of Asset Classes Total number of distinct asset classes covered. |
No information available |
Portfolio Aggregation and Hierarchy
(8 Yes /8 Known /9 Possible features)
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Multi-level Aggregation Aggregates risk at trade, account, desk, portfolio, and firm levels. |
Risk aggregation described from position, desk, portfolio, business unit, and firm level. | |
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Legal Entity Views Organizes exposures by legal entity/subsidiary. |
Legal entity (entity/sub/desk) reporting is in risk book features. | |
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Portfolio Customization Flexible portfolio and sub-portfolio definitions by user. |
User-defined sub-portfolios; hierarchical portfolios described in the product brochures. | |
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Dynamic Hierarchy Management Allows dynamic creation/modification of portfolio or client hierarchy. |
Dynamic hierarchy management supported; users can update/modify reporting structures. | |
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Cross-Currency Consolidation Automated FX conversion and reporting currency selection for all holdings. |
Supports global cross-currency consolidation and FX risk reporting. | |
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Real-time Exposure Aggregation Instant updating of risk exposures upon data or trade changes. |
Described as 'real-time exposure aggregation' in both marketing and technical docs. | |
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Segregated and Consolidated Views Toggle between consolidated and segregated risk views at any hierarchy level. |
Toggle between legal entity, desk, and portfolio risk views available. | |
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User-defined Groupings Flexible grouping of accounts or trades for specialized analysis. |
User-defined groupings for custom reporting supported in dashboard and API. | |
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Maximum Hierarchy Levels Defines the number of portfolio levels supported. |
No information available |
Performance & Scalability
(6 Yes /6 Known /10 Possible features)
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Computation Time per VaR Run Average time needed to compute VaR for a given portfolio. |
No information available | |
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Concurrent Users Maximum number of users who can access/run risk calculations simultaneously. |
No information available | |
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Transactional Data Throughput Volume of position/trade updates processed per second. |
No information available | |
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Horizontal Scalability System can scale across multiple servers or cloud instances as load increases. |
Cloud scalable architecture and deployment supported, as of 2023 product releases. | |
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Cloud-native Capabilities Optimized for deployment and scaling in cloud environments. |
Adenza promotes cloud-native deployments for institutions. | |
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Parallel Computation Support Leverages multi-threading and distributed computing for large-scale calculations. |
Parallel, distributed computing architecture cited for large portfolio calculations. | |
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Batch Processing Capabilities Allows overnight or scheduled risk computations for all portfolios. |
Batch processing and scheduled overnight calculations available and commonly referenced for end-of-day runs. | |
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Failover and Redundancy Systems are designed with redundancy for high-availability and disaster recovery. |
High-availability, disaster recovery, failover explicitly listed in cloud and on-prem deployment docs. | |
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Data Archiving & Retention Automatic archiving of risk results and source data. |
Data retention policy controls are a core function in banking deployments. | |
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Resource Utilization Monitoring Tracks CPU/memory/network resource usage during calculations. |
No information available |
User Experience & Accessibility
(7 Yes /7 Known /10 Possible features)
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Web-based Interface Accessible via browser with no client installation required. |
Web browser is the primary UI for users. | |
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Customizable Dashboards End users can tailor dashboards and layouts to personal preferences. |
User-configurable dashboards, widgets, and layouts described in feature set. | |
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Rich Visualization Tools Interactive charts, heatmaps, and risk distribution graphics. |
Rich charting, risk heatmaps, and visual tools are a focus in UI screenshots and marketing decks. | |
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Role-based Access Controls Granular user permissions and access settings for different teams/roles. |
Role-based permissions are a fundamental industry requirement and described in technical documentation. | |
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Multi-language Support System interface available in multiple languages. |
No information available | |
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Accessibility Compliance Adherence to standards (e.g., WCAG) for users with disabilities. |
No information available | |
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Search & Drill-down Functionality Powerful tools to locate, filter, and drill into risk data. |
Ad-hoc search and filtering on positions, exposures, trades available in UI. | |
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Mobile Compatibility Accessible and functional on tablets and smartphones. |
No information available | |
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Notification and Alerting System Automated, configurable alerts for threshold breaches or data anomalies. |
Rule/threshold-based email/popup alerts described in documentation and configuration UI. | |
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Help and Training Support Contextual help, tutorials, and knowledge base. |
Help desk, online documentation, and in-platform contextual help imbedded. |
Reporting & Analytics
(10 Yes /10 Known /10 Possible features)
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Standard Risk Reports Pre-built regulatory, executive, and detailed risk reports. |
Regulatory (Basel, SEC), executive, and custom risk reports available out-of-the-box. | |
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Custom Report Builder User-driven creation and scheduling of custom risk reports. |
Users can define, schedule, and export custom reports; reporting toolkit described. | |
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Automated Report Distribution Automated emailing and secure distribution of reports to end-users. |
Reports can be scheduled and emailed to designated user lists. | |
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Drill-down Reporting Ability to generate reports from aggregate to transaction level. |
Drill-down from aggregate to line item, trade, and exposure level is a core reporting concept. | |
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Ad-hoc Query Tool On-demand analytics and query capabilities for risk managers. |
Ad-hoc and interactive risk queries supported directly from main UI. | |
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Multi-format Export Exports to Excel, PDF, CSV, XML, etc. |
Export available in multiple formats including Excel, CSV, and PDF per documentation. | |
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Schedule-based Reporting Supports automated scheduling of recurring reports. |
Flexible scheduling of reports and data extracts is advertised. | |
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Regulatory Compliance Reports Configurable templates for regulatory submissions (Basel, SEC, etc.). |
Regulatory template library covers Basel, US/EMEA/Asia SEC and other regimes. | |
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Interactive Analytics Online analytics with filters and scenario sliders. |
UI allows users to explore analytics using filters and scenario sliders. | |
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Audit Trails for Reports Tracks who accessed, generated, or modified reports. |
All user actions and report runs are tracked in system audit logs. |
Integration & APIs
(10 Yes /10 Known /10 Possible features)
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Open APIs RESTful or SOAP APIs available for inbound/outbound data and process integration. |
REST and SOAP APIs available for position, trade, risk, and reference data integration—documented on vendor portal. | |
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Trading Platform Connectivity Out-of-the-box links to major trading and order management systems. |
Connectivity with trading and OMS software (like Bloomberg, Fidessa) mentioned in client stories and integration guides. | |
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Risk Data Push/Pull Can proactively push or allow pulling of results for external systems (PMS, CRM, custom analytics). |
Risk results can be pushed/pulled to/from external downstream or client systems. | |
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Batch File Interfaces Process bulk data loads or exports via flat files (CSV, XML, JSON). |
Batch file loading/export with CSV/XML/JSON described in data integration documentation. | |
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Third-party Analytics Integration Plugin or interface for advanced analytics tools (e.g., MATLAB, R, Python). |
Integration with R, Python, Matlab via APIs or plugins referenced in advanced analytics documentation. | |
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Authentication Integration Single-sign-on (SSO) integration with directory services (LDAP, Active Directory). |
SSO/LDAP integration options for authentication described in implementation guides. | |
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Event-driven Hooks Automated workflows and responses triggered by system events or external calls. |
Event-driven workflow engine referenced for automating actions on business events. | |
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Custom Adapter Toolkit APIs or SDKs for building connectors to proprietary or legacy systems. |
SDK and toolkit described for bespoke and legacy system adapter creation. | |
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Real-time Messaging Interfaces Supports real-time streaming integration via message buses (e.g., Kafka, RabbitMQ). |
Real-time messaging interfaces (including support for Kafka, MQ) in advanced integration docs. | |
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Data Mapping and Transformation Tools Flexible engine for mapping and transforming inbound/outbound data formats. |
Data mapping engine for complex data flows described as a core feature. |
Governance & Audit
(10 Yes /10 Known /10 Possible features)
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Complete Audit Trails Logs all key events, calculations, and user actions within the system. |
Complete user and calculation audit trails available—aligns to regulatory/brokerage best practices. | |
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Permissions Audit Reports Generate reports detailing user access and permission changes. |
Permissions audit and reporting options described in compliance module. | |
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Configurable Approval Workflows Custom workflows for approving risk limits or overrides. |
Multi-level approval workflow engine for limit/risk overrides described. | |
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Change Management Logging Full record of changes to risk models, parameters, and hierarchy. |
All model, parameter and hierarchy changes recorded in detailed logs. | |
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Regulatory Compliance Checks Automated validation against regulatory rules or internal guidelines. |
Automated regulatory compliance workflows/checks for MiFID, Basel etc. listed. | |
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Risk Limit Monitoring Configurable limits with real-time alerts/breach notifications. |
Limit monitoring with real-time alerts for risk breaches is a key function. | |
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Historical Snapshots Ability to retrieve full risk and exposure reports from any past date. |
Retrieval of historical risk/exposure snapshots for any date implemented for audit and regulatory needs. | |
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Role Segregation Enforcement Separation of duties and enforced workflow for key governance steps. |
Role and workflow-based segregation for risk, data, and approvals enforced. | |
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Model Governance & Validation Tools for model validation, governance reporting, and sign-off workflows. |
Tools for model validation governance and workflow are built in for regulatory environments. | |
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E-Signature Integration Supports regulatory or audit e-signature approval for key risk or limit changes. |
E-signature/approval for audit and regulatory sign-off available for model/limit changes. |
Security & Resilience
(7 Yes /7 Known /10 Possible features)
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Data Encryption At Rest & In Transit Encryption protocols for stored and transmitted risk data. |
Data is encrypted both at rest and in transit, as per standard for this market segment. | |
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Multi-factor Authentication Support for MFA to secure access to sensitive risk data. |
Multi-factor authentication support described in user security materials. | |
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Intrusion Detection Integration Links to organization security tools for threat detection. |
No information available | |
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Marketplace Certification Compliance with security certifications (SOC 2, ISO, etc.). |
SOC, ISO, or regional certifications highlighted to meet institutional client requirements. | |
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Disaster Recovery Procedures Documented and tested disaster recovery process. |
Disaster recovery processes are a required feature and referenced in solution overviews. | |
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Business Continuity Planning Redundant infrastructure to ensure service during outages. |
Business continuity and failover are core operational requirements, detailed in resilience docs. | |
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Data Anonymization Built-in data masking and anonymization tools where applicable. |
No information available | |
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Audit Logging of Security Events Detailed logging of all access and security events. |
Security and access logs include detailed audit trails of all access events. | |
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User Session Timeout Automatic session expiration for inactive users. |
Session timeout and session security policies described in user settings. | |
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Penetration Testing & Vulnerability Assessments Regularly scheduled security assessments. |
No information available |
Model Management & Validation
(9 Yes /9 Known /10 Possible features)
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Model Versioning Tracks all versions of risk models, with rollback capability. |
Risk model changes are tracked and versioned in the system. | |
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Model Documentation Attach supporting documentation for each model in use. |
Documentation can be attached/uploaded to risk models in governance workflows. | |
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Model Validation Workflow Formal workflow for model validation, sign-off, and periodic review. |
Formal validation workflow for models, with audit trails and sign-offs, is described for regulatory clients. | |
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Independent Model Review Support Enables external or independent model validators to access models securely. |
Secure third-party validator access by role is available for independent model review. | |
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Parameter Sensitivity Analysis Tools for analyzing model behavior as parameters change. |
Sensitivity analysis and scenario testing tools available in risk model calibration UI. | |
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Model Approval Recording Logs dates and sign-offs for all major model changes. |
All model sign-off and approval events are logged and accessible. | |
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Out-of-sample Testing Support for model validation using out-of-sample data. |
Out-of-sample testing modules referenced in model validation capabilities. | |
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Model Performance Reporting Automatic reports on model accuracy and predictive power. |
Reports showing model accuracy and stability are standard in validation modules. | |
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Model Decommissioning Tools Formal process and workflows for retiring obsolete models. |
Model decommissioning workflows are supported for lifecycle management. | |
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Number of Models under Management The total number of risk models the system can version and track. |
No information available |
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