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Products

Our solutions are based on solid academic knowledge, sophisticated quantitative methods, local and international capital markets expertise and are developed with the best technologies for high performance and precision.

OctaX

OctaX is a spot and NDF forex algorithmic trading solution specially designed for financial institutions.
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OctaCredit

Octaplus’ credit risk management fully integrated platform. OctaCredit is a computational solution which measures, monitors, and controls individual and portfolio credit risk exposures.
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IFRS 9

All IFRS 9 framework requirements delivered by our IFRS 9 consulting program. Octaplus proprietary credit impairment solution calculates and reports expected credit losses (ECLs) figures for financial institutions.
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Other solutions

Market VaR

Market risk capital assessment.

Marker VaR is a market risk management system which provides portfolio risk figures (Value at Risk and Expected Shortfall) based on a non-parametric historical simulation approach producing risk figures at various levels by risk factor. Direct input and assessment of user-defined stress scenarios. Fast and easy inclusion of new financial instruments are guaranteed by its versatile computational architecture.

Modules

Positions Module​

Module designed for displaying individual exposures and portfolios, including mark-to-market, duration and PV01 views, as well as various financial gap indicators and maps.

Stress Module

Stressed VaR and ES figures generated by user-defined stress scenarios are calculated and presented in this module.

VaR​ Module

This module calculates precise VaR and ES figures through historical simulation, providing the breakdown of risk figures in terms of their marginal contributions to legal entities, segments, desks, portfolios, etc.

Infrastructure

The infrastructure module contains a number of IT most desired features such as server monitoring, audit trails and user permissions management.

PROPERA

Operational risk management platform.

PROPERA is the Octaplus solution for measuring, monitoring and managing operational risks according to the Basel AMA Approach. Incorporating the most advanced techniques, PROPERA integrates the 4 AMA elements at a micro actuarial level, providing managerial views of operational risk at cell level (ORC), line of business, type of event, etc.

Modules

Economic Capital

LDA Approach measurement of the operational risk economic capital, by means of multiple frequency and severity distribution convolutions, is provided by this module.

Stress Module

Individual and global stress scenarios can be defined and included in this module, such as expert frequency and/or severity point process, business line or firm wide stress scenarios.

AMA capital

This module calculates and reports the AMA (Advanced Measurement Approach) operational risk capital requirement.

Infrastructure

The infrastructure module contains a number of IT most desired features such as server monitoring, audit trails and user permissions management.

Credit Exposure

Octaplus counterparty credit risk solution

Measuring and pricing credit counterparty risk is made easy with Octaplus Credit Exposure. A market-simulation-cube-based architecture enables our solution to efficiently produce multiple counterparty risk profiles, risk pricing values and capital requirements, when integrated to the OctaCredit platform. Credit Exposure is supported by a mark-to-market library of various financial instruments, ranging from plain vanilla instruments to exotic derivatives.

Modules

Future Exposure

This module generates time exposure profiles and credit risk exposure metrics, such as EE, EEE, EPE and EAD.

Funding Value Adjustment (FVA)​

When pricing derivatives, funding markups and costs can be easily treated with the use of Credit Exposure FVA module, which handles both clean and collateralized transactions.

Credit Value Adjustment (CVA)​

Credit risk pricing figures of single trades, strategies or complex portfolios can be easily delivered by the Credit Exposure CVA module.

Infrastructure

The infrastructure module contains a number of IT most desired features such as server monitoring, audit trails and user permissions management.

ALM

Asset and liability management system.​

Octaplus ALM is our integrated solution for asset and liabilities management. It is equipped with various tools designed to assist balance sheet and net income management processes. Octaplus ALM enables the user to view and monitor current and future exposures and various financial gaps, under real and prospective market conditions. Prospective revenues and net income under various asset and liabilities rolling assumptions can be produced and analyzed.

Modules

Positions Module​

It is the main module of the system, containing all the pricing engines for assets and liabilities. The module displays fair price values ​​according to a hierarchy of legal entities, market segments, portfolios, products, currencies and indexes.

EVE module

This module delivers the economic impact of changes in interest rates on bank positions, assets and liabilities. A complete parameterization of interest rate shocks can be applied to interest rates curves. Interest rate term structures containing parallel or non-parallel shocks can also be imported.

Gap Module

The Gap module consolidates all asset and liabilities cash flows in time buckets, offering granular or global views of nominal and present value cash flow gap profiles.

Results Module

Simulation of future results and calculation of NII (“Net Interest Income”) figures under multiple future market scenarios and asset and liabilities rolling assumptions.

FIDC

System for risk and profitability analysis of credit rights funds.

A system for managing and measuring credit risk in Brazilian securitization structures such as FIDCs and CRIs. The system is based on a multi-period Monte-Carlo computational engine that simulates the behavior of a credit structure during its life, incorporating various effects such as the structure’s cash management, investment policies, grace events and other triggers.

Modules

Risk

This module generates probability distributions of returns for subordinated junior shares and probability distributions of losses for senior shares.

Performance​

The construction and assessment of risk and return ratios of securitized credit structures shares, such as risk-adjusted performance measures, is performed by this module.

NAV Assessment

This module calculates and displays the fund quotas fair value prices and the probabilities of the fund quotas yield targets.

Infrastructure

The infrastructure module contains a number of IT most desired features such as server monitoring, audit trails and user permissions management.

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See also

Address

Rua Quintana, 753, Cj. 92, Cidade Monções São Paulo, SP, Brasil CEP 04569-011

Phone

+55 11 5506 5880

+55 11 5506 5988

E-mail

contato@octaplus.com.br