Counterparty Credit Risk
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