Full Monte-Carlo generation of Base Term structures, Spreads (absolute or relative spreads or full rates), 3 level factor Index/secondary Index/Equity. Near term/Spot Forward Commodity, Covered Interest or Free Floating Foreign Exchange simulation, absolute and relative Volatility Surfaces and Country Index exposures with devaluations and country losses through default simulation as well as Liquidity risk defined as the number of days to close the position. 

A configurable Parametric VaR engine that performs true sensitivity revaluation instead of the simplistic delta-normal approximation, from either unitized returns or intermediate correlation matrices. 

A Historical module with precise horizon sampling and event shuffles that accepts Forward Rates and volatility surfaces level changes.

Multiple Scenario sequences for powerful What-if and outlier analysis, including conditional correlations to incorporate correlation breakdowns due to price swings.

Portfolio Ageing. Positions can age or be of constant maturity. Most existing systems do not age their positions. Instead they assume 1 day risk multiplied by the square root of time which only really applies to plain vanilla short term positions (especially since derivatives are somewhat unstable near expiration). 
Ageing is rather involved since reinvestment and exercise policies must be available. Cash-accounts must be generated and exercise conditions of derivatives must be constantly checked against market (& credit) variables.

And this for a wide array of instruments covering all asset classes.

The engine is designed to cover relative and absolute measures, including VaR sensitivities for all market and credit risk factors.