The Quant system enables the client to handle market risk on VAR basis and to prepare trading book reports for the Supervisory Authority.

The basic module of the system can prepare the trading book report required by the 244/2000 decree. The system is linked to banking systems by standard, TXT file-based interfaces. The completion of reports is done by an Excel Add-in, which is linked to the Quant database.

The goal of the Quant VAR module is to enable standard and internal model based Value at Risk (VAR) calculations on a given portfolio chosen by the bank. The Quant VAR module can calculate Value at Risk by different methods, as follows:

• Parametric - VAR calculation is based on Riskmetrics method
• Historical - VAR calculation is based on historical experiences
• Simple - at this method the portfolio is handled as a single (but complex) security
• Monte-Carlo - VAR calculation is based on generation of possible values for those random variables, which determine the change in market value

In addition to the listed methods, Quant supports the following VAR calculations:

• Conditional VAR
• Marginal VAR
• Relative VAR
• Incremental VAR
• Vertex VAR

Possible operations in Quant include:

• Loading positions
• Loading market data
• Creating and organizing portfolio tree structure
• Constructing/modifying product catalog
• Choosing covariance matrix
• Fundamental mapping
• Setting options for VAR calculation

• The whole system was tested again. As a result Quant 3.0 and Varitron 2.0 calculate the same capital requirement, when input parameters are identical.
• Many minor, annoying problems have been fixed. Where it was possible, we developed a user-friendlier environment using list boxes and search functions.
• A new function has been added to the VAR module: a Backtesting report generator has been developed, which automates the backtesting report process.
• It has become possible to monitor user activities.