Deutsche Postbank Implements Adaptiv for Monte Carlo VaR
Deutsche Postbank AG has gone live with SunGard's Adaptiv Analytics for calculation of Monte Carlo Value-at-Risk (VaR). The software will support Postbank's on- and off-balance sheet capital market activities.
Postbank is using Adaptiv Analystics in conjunction with SunGard's Risk Cube, which was implemented in 2009. The combination allows the bank to assess risk from an enterprise level down to an individual basis.
"Our aim is to have full transparency and an in-depth understanding of the sources of risk, including extreme event scenarios," says Guenther Fiebach, head of market risk and risk analytics at Deutsche Postbank. "The combination of SunGard's Adaptiv Analytics and Adaptiv Risk Cube has helped us improve our risk management with the ability to calculate and analyze over 30,000 risk simulations per trade across our risk factors. This transparency and the openness of Adaptiv Analytics will help us meet the challenges of regulatory and market changes. In addition, having a consistent view on the relevant positions and the associated market risks across the enterprise helps us assess, monitor and act upon market risks and opportunities quickly, thereby enhancing productivity."
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