חוברת מטעם compuhedge בגירסת pdf

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  • 1. | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com : CompuHedge Policy@Risk White Paper1 www.compuhedge.com 1102

2. 2 3. | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com ": - , 1 , , . " CompuHedge Policy@Risk . : " IFRS - US GAAP ) 2 9 (IFRS 3 ) ( 4 " - 5 on line ), , ...( .3 4. 4 5. | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com 1 - ........................................................................................................................................7 ..................................................................................................................................................................................................... 9 2 ...........................................................................................................................................................9 1.2 - ........................................................................................................012.2 - .................................................................................313.2 CompuHedge .............................................................. 414.2 3 CompuHedge............................................................................024 / - ....225 25........................................................................................................KISS - Keep It Simple Sir/Stupid6 / - )26......................................................................(Traders7 ..........................................................92 CompuHedge Policy@Risk 8 - - 9 IFRS ........................................................................539 ) ( ..................................................................0401 " - ............................................245 6. 6 7. | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com 1 - " ) ( - ) ( . ) hedge(, . . . ) () ( -FRA Forward Rate Agreement. : ", ... IRS- InterestRate Swap " . : " / ", Forward / / ", // ", "/ . : , / , ... . : , ... )( . - . .CompuHedge Policy@Risk7 8. 8 9. | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com 2 1.2 , / " . : , , ) (Traders . " CompuHedge . . - . .CompuHedge Policy@Risk . - , ", ", , ... - , "9 )...(Spacecom 10. 2.2 )- 90/5/81( , . ", , , ) (Curaao . 01 11. 11 | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com ) Spacecom ( : 12. :21 13. | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com 3.2 - " ) , , (. , , , . / . . ) (Hedging , / . , , / . :1. , , . , , . . 2. - Trading & Back Office . ), ( / . .31 14. 4.2 CompuHedge CompuHedge ". 5002 ) Spin (Off FOI- The Futures and Options Institute 1991. " . " .FOI / " . - , - );IFRS (US GAAP "", "" - 904 .SOX CompuHedge Policy@Risk . CompuHedge Policy@Risk Software as a Service - SaaS : - CompuHedge Policy@Risk , ) (Workflow )(Reports ) :(Compliance; ; Trading & Back Office Policy Definition and Dictation Tactical Planner FinancialPolicy Planning Exposuresand Scenarios TestingPositions Operations and AlertsAccounting Environmentand Rules Definition -(SaaS Administration) SaaS 41 15. | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com : 1 - , , , . " CompuHedge Policy@Risk . CompuHedge , . , @CompuHedge Policy Risk - : US - - 9 IFRS GAAP2. 3 - TARN . ) 31 .(IFRS 4 " - . 5 ) (. On Line ), , ...(. . .51 16. ) ( .61 17. | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com " " )(: 1. )( . 2. . 3. . 4. - ,Restatement . ) ( @CompuHedge Policy Risk . , , ) (. , ),(Auditors . -.Restatement .71 18. 18 19. 91 | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com 20. CompuHedge 3 . : ) (Financial Risk Exposures . / : ) (. . /. ) (: . ) ( . . . . . . . . CompuHedge Policy@Risk - )(Traders , - ).(Right-Time " " ).(Corporate Governance , ) "( . " " , . 02 21. | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com , ) (Workflow )(Reports ) :(Compliance; ; Back-office : : , - Driill down - - , - )(Traders - , " : : 9 IAS 39; IFRS " 751 US GAAP: FAS 133; FAS 161; FAS "", "" - 904 SOX . :1. . 2. . CompuHedge . " ) ( "" " . . 12 . 22. / -4 " )(Traders , , ,... ).(Traders , . " " ) ( / . . "" - . " " ) (. " " . . , - . CompuHedge Policy@Risk , , - . , , ) ,(StressTest , ).(Right Time - , . , " " "" . , , , , , , ) ( 22 23. | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com , ).(Compliance ." 32 24. " " . ) ( )(Reports ) :(Compliance; ; : Trading & Back OfficePolicy Definition and Dictation Tactical Planner FinancialPolicy Planning Exposuresand Scenarios TestingPositions Operations and AlertsAccounting Environmentand Rules Definition -(SaaS Administration) SaaS CompuHedge Policy@Risk " " )Closed Loop(Feedback 42 25. | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com )(Keep It Simple Sir/Stupid 5 KISS .KISS , . "" " .) (. , "" . ) ( . , ) ( . ) Default ( ), ...( ) (. , - ).(What If " " ) ( . " ) :(Compliance, ." ) ( . " " ) " "( .52 26. / - 6 " . - - , - )(Traders - , " ) Back Office ( " ) (Compliance : ) ,(Tactical Planner ) (Positions . .Reports 62 27. | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com ):(Traders . , ), (. . . Free Text . Back Office. . "72 28. " : ) (www.CompuHedge.com 82 29. | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com 7 " . ) (Tailoring and Personalization ., ) (Workflow Web-Based Software as a Service - SaaS ) (Collaborative co-Authoring ).(any place; any time ) (Workflow . Excel - ) Excel User Interface (Excel )"" - (Excel . Excel, / . ) (Reports ) Compliance; ; ( ) (Auditors . ) (Drill Down .92 30. Back Office03 31. 13 | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com || 32. 32 33. | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com CompuHedge Policy@Risk - - 9 IFRS . ) ( - - 31 .IFRS " - . 33 34. 34 35. | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com - 8 - 9 IFRS CompuHedge ): Policy@Risk ( . "" . . : 1. )( .2. )( . 3. )( . 1. . 2. ).RAROC (Risk Adjusted Return On Capital 3. ) (. : . ) ( .) (. . " " . . ) (53 )( ) ( . 36. . ) (RAROC : 1. .2. 3. ) (Discount " .4. . CompuHedge Policy@Risk :" " )(: 1. )( . 2. .3. . 4. - . Restatement . CompuHedge Policy@Risk . , , ) (. , )) ,Auditors . - .Restatement . 63 37. | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com COMPUHEDGE-FOI CompuHedge Policy@Risk CompuHedge Policy@Risk CompuHedge Policy@Risk CompuHedge Policy@Risk Auditor Report CompuHedge Policy@Risk: . " " . 1. Auditor Report , , . " " . ) ( . 2. - Excel - ) Excel ) (User Interface )"" - (Excel . Excel, - .73 38. 3. " " )(High Probability " " )- 9 IFRS " "(. " " ).(High Probability :. .. . . ) , (. , ) (. , .4. " : 9 IAS 39; IFRS 7; IFRS " :751 US GAAP FAS 133; FAS 161; FAS . ) - 904 (SOX 5. ) (Compliance . . . ): (.6. " " - . "" " ", , . ""/ Collar CALL 001 , PUT 071 . , , .CALL 001 PUT 001 , PUT 07 .7. 83 39. | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com1.7 . , . 2.7 )( .3.7 .8. . :1. - - Dollar Offset . 2. .3. . . CompuHedge Policy@Risk ) (Default ) ( . . : 1. ) (. 2. ) ( - .Prospective 3. ) ( - .Retrospective : ) ( ) (.9. 1.9 " - Book Keeping .2.9 : -" "Non-Designated . 3.9 : :Summary ) ( .01. " ) (.93 40. 9 ) ( CompuHedge Policy@Risk): CompuHedge Policy@Risk ( " :, /- " " .) TARN .( " " . - " ". ) (IFRS,US-GAAP " " , . CompuHedge Policy@Risk : - " . - ". - . " - Forward ". - IRS, Caps and Floor - Commodities . ) .(Embedded Derivatives ) .(Host Contract: . 04 41. | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com CompuHedge Policy@Risk . : - Excel - ) Excel ) (User Interface Excel )"" - (Excel . Excel, / . - SOX . : . . : . . ) ,(Reuters . " . " . . .14 42. " - 01 CompuHedge Policy@Risk): CompuHedge Policy@Risk ( ) ( " , " )" 2(. " ) (:1. ),%01+ ; %5 + , %0; %5; - %01- ( .2. 1 , . ) (Forward/ , . 24 43. | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com 3. " ) Swap " " "( .4. . "? 1. ) %0 ( . . 2. - ) (Embedded Derivative ) - (Host Contract: . 3. ) ", , , ..( . 4. , , . 5. ) (Drill Down .6. . 7. )9 ( IAS 39; IFRS , . CompuHedge Policy@Risk - . : - Excel - ) Excel User Interface (Excel )"" - (Excel . Excel, / . - SOX . : . .34 44. " . " . . " - :Book Keeping . . : -" "Non-Designated .. ):(Summary ) ( . . , . )( . . ) ( ) ,(Reuters . 44 45. 54 | < CompuHedge 32, , , 20329 < : 6399-165-20 < : 5647165-20 < : < [email protected]: www.compuhedge.com 46. CompuHedgePolicy@Risk | | | | | : CompuHedge , Policy@Risk ? : ? , , ) (Traders ? )(? ? ? )(Traders? ? , ) Excel ...( . ? " - ? | CompuHedge 32, , , 20329: 6399-165-20 | : 5647165-20 : [email protected] ?: www.compuhedge.com 64