Counterparty Credit Risk
RiskValue counterparty credit risk module provides advanced functionalities and analytics for risk measurement and management in banking corporations and other financial institutions exposed to credit and counterparty risk. It covers both regulatory and internal requirements, by applying the best practices and latest approaches used today by the industry’s leading practitioners.
Main Features
Manage Counterparty Credit risk
- Counterparty risk limits monitoring across all types of counterparty exposures
- Pre-defined counterparty risk reports, can be further customized
- Credit Value Adjustment (CVA) for instrument and portfolio valuation
Use different approaches to measure counterparty risk arising from Derivatives positions
- Current Exposure Method (add-on) allowing for different sets of coefficients (internal and regulatory) across instruments, maturities, currency pairs, and other risk factors
- Internal Models Method based on simulation of net exposures and risk factors using different correlation assumptions
Evaluate counterparty risk metrics for derivatives positions
- Fixed-time exposure metrics including Average Expected Exposure and Maximum Exposure
- Across-time exposure metrics including Potential Future Exposure, Expected Positive Exposure, Loan-equivalent Exposure-at-Default and others
