HDFC Taps Numerix for Risk Management

According to Numerix, which provides cross-asset analytics for derivatives valuations, HDFC will consolidate its market risk management and reporting capabilities through the Numerix solution.

HDFC will be able to manage, monitor and report on market risk exposure for all of its portfolios. They can aggregate risk, drill-down across all trades, and price and calculate market-to-model, historical/stressed Value-at-Risk (VaR), as well as actual/no-action P&L and back-testing for vanilla and OTC derivatives, according to the vendor.

It will also help the bank to address Basel 2.5 and Basel 3 requirements.

"We were impressed by Numerix's strong quantitative team and with the firm's ability to understand our system requirements," says Sanmoy Chakrabarti, head of market risk at HDFC Bank. "With Numerix Portfolio we've consolidated our risk management and reporting capabilities onto one platform."