This powerful tool designed by quants for quants, traders and risk managers, allow a full automated analysis of financial analytics. Already in place for well-known financial applications like Calypso, OpenGamma, Quantlib and Summit, the tool includes following main functions:
- Model Validation: Yields tests mathematical models like an experienced model validation team. With an increasing complexity of the models in difficult market contexts, it becomes crucial for banks to improve the model validation framework and provide clear KPIs to the traders and risk managers. Yields controls whatever the models tested comply with the following criteria:
- Arbitrage relationships
- Other KPIs
- Model Quality Regression Testing: Banks moving towards a unified quantitative library providing pricing services across the different business lines, require an efficient way for regression testing. YIELDS greatly reduces time to market for the introduction of new models and facilitate the full testing life cycle: even non-quantitative profiles can run the tests and provide consolidated results to the quant experts.
- Model Risk Monitoring and Provision: YIELDS checks the quality of valuation and risks across the full trade portfolio at any time during the day and automatically create transparency by visually representing model risk.
- Prudent Valuation: A unique system to evaluate the new AVA components. The Yields platform calculates various AVA’s (additional valuation adjustments) as required by the regulatory technical standards on prudent valuation of the CRR (capital requirements regulation).