Market Risk Analysis (Censrisk™)

Market Risk Analysis (Censrisk™)

Censrisk™ Market Risk System Advantages:

  1. High data integrity and extensive database sources with high market usage.
  2. Measurement methods that can be traced back to appropriate transaction records.
  3. Automatic sample selection when there is insufficient data for calculation.
  4. High transparency of models with intermediate validation processes, including sensitivity analysis.
  5. High flexibility in parameter settings and model usage, allowing for quick configuration and calculations.
  6. Multiple risk reporting designs for easy management and analysis.
  7. Users can create custom report groups according to their preferences.
  8. User-friendly interface available in three languages.
  9. Two educational training sessions, including risk breakdown for various assets, and comprehensive technical manuals.
  10. Ongoing research by the TEJ Risk Management Department.
  11. Customizable permission control based on different needs.

Permission Control Explanation:

Users can set up their accounts based on functional requirements, as follows:

Highest permission: Administrator (1 person)Second-highest permission: Operator (2 people)Lowest permission: Reader (10 people)
Account creation and deletion
Position and calculation settings
Authorization and sharing of positions
View all account position settings and calculations
Position and calculation settings
Authorization and sharing of positions
Authorization and sharing of positions limited to viewing shared position calculation results

Calculation Methods Explanation:

The system currently supports two major categories of calculation methods:

Regional Valuation Method:

  • Variance-Covariance Simple Moving Average Method
  • Variance-Covariance Exponential Moving Average Method
  • Variance-Covariance Weighted Moving Average Method
  • Variance-Covariance GARCH
  • Variance-Covariance IGARCH
  • Variance-Covariance TGARCH
  • Multifactor Analysis Method

Global Valuation Method:

  • Historical Simulation Method
  • Monte Carlo Simulation Method (GBM, Vasicek)


  • Conditional Value-at-Risk
  • Fixed Position Review Test
  • Stress Test
  • Daily Position Review Test
  • Binomial Distribution Test
  • Likelihood Ratio Test
  • Sample Statistical Test

Applicable Asset Categories:

Spot – SecuritiesSpot – Interest RateSpot – Foreign Exchange
Listed stocks
Over-the-counter stocks
Emerging stocks
International stock price indices
Domestic funds
Overseas funds
International stocks 1
Government bonds
Corporate bonds (fixed, floating, reverse floating)
Monetary instruments (loans, deposits, receivables)
Convertible bonds
Perpetual bonds
Overseas bonds
Exchange rates
Derivative products – SecuritiesDerivative products – Interest Rateerivative products – Foreign ExchangeDerivative products – Commodities
Options 2
Index futures 3
Stock futures
Interest rate swaps
Forward rate agreements
Currency swaps
10-year government bond futures
30-day interest rate futures
Interest rate options (upper limit, lower limit, range)
Equity-linked bonds
Convertible bond asset swaps
Asset Securitization – MBS and CMO
Bond options
Overseas convertible bonds
Overseas convertible bond asset swaps
Forward foreign exchange transactions
Currency swaps
Foreign exchange options
New Taiwan Dollar gold futures
Gold options


  1. Overseas stocks include China, Hong Kong, the Philippines, Malaysia, South Korea, Singapore, and Thailand.
  2. Options include call warrants, Taiwan index options, individual stocks, financials, electronics, MSCI, over-the-counter, and non-financial electronics.
  3. Index futures include major Taiwan index, mini Taiwan index, financials, electronics, Taiwan 50