Overview

Throughout the book, we looked at individual Excel-based models to simplify the discussions and explanations. Nonetheless, these Excel models are limited in that they can only run on a limited set of data (e.g., Excel has a maximum number of rows and columns per worksheet) and might be much slower than a bank would consider optimal (this is due to the Excel computational overhead of including graphics, equations, and cell-by-cell platform). Banks typically have thousands if not millions of transactions per day across all its branches, and some of these credit and market risk analyses have to be done frequently and quickly. In this Appendix, we introduce the server-based applications of the Modeling Toolkit and Risk Simulator, where millions of data points and computations can be run within seconds on a server. The same analytics and models in these two software programs described throughout this book are now run in pure mathematical software codes, making the computations blazing fast and capable of handling large data sets.

This server-based software is called Rov Risk Modeler and it is divided into a few application modules:

• Rov Risk Modeler for Credit Risk and Market Risk Risk Modeler is a simulation and analytical module which focuses on Credit Risk and Market Risk for Basel II based on a bank s existing data tables. It provides many models to simulate, fit, forecast, value, and reports the results to the user. Existing data tables are based on the user s requirements such as linking...