Precise assessment of Counterparty Credit Risk

The change in pricing of financial products has its roots in the credit crisis turned into a sovereign defect crisis in Europe. Although a simplification of instruments has been observed in the market, the inclusion of various value adjustements (xVA) has taken the complexity of the valuation of even those simple instruments to a new level. Credit risk measurement and capital allocation are nowadays all based on an increasingly complex mathematical and IT machinery.

UnRisk solutions for Counterpary Credit Risk (CCR) use Monte-Carlo engines in combination with fast solvers for PDEs to allow users to calculate:

  • Exposures
  • PFE, NEE, EE, ENE, EPE
  • CVA/DVA

With these information and key ratios at hand we give users the ability to calculate, analyze and limit exposures and minimize capital charges for Basel III compliance. Users can value new trades and can perform what-if analysis figuring out the trades impact on the CCR and its related key ratios.

 

UnRisk Products for Counterparty Credit Risk

 

Further Information

Contact UnRisk