When cash on deposit, certificates of deposit or comparable instruments issued by the lending bank are held as collateral at a third-party bank in a non-custodial arrangement, if they are openly pledged/assigned to the lending bank and if the pledge/assignment is unconditional and irrevocable, the exposure amount covered by the collateral (after any necessary haircuts for currency risk) receives the risk weight of the third-party bank. Enables timely profit making or loss avoiding decisions.Cash-funded credit-linked notes issued by the bank against exposures in the banking book that fulfil the criteria for credit derivatives are treated as cash-collateralised transactions.Get valuable insights into market events and geographical or climate related events.Reduce risks inherent in open positions by receiving up-to-date market information.Go beyond the data available via financial statements or public rating agencies.Analyse live data via powerful, intuitive BI visualisations.Data Sources: Twitter, webhose, Glassdoor, Trustpilot. Enter custom scoring criteria and other weighting preferences to further customise your data.Latest market and sentiment data from Twitter, new organisations and online blogs.Model and monitor sentiment in real-time.Anticipate and proactively mitigate the impact of future credit risk events on the portfolio.By collecting data in real-time we can automatically organise it, filter it, translate it, score it and weight it using extensive language libraries and state-of-the-art techniques in sentiment analysis. Sentiment tracking via monitoring of social media and other news sources. Historical tracking and time trend analysis.Reporting of VaR at book, desk and portfolio level.Reporting of Greeks across various metrics such as book, portfolio, desk, commodity.
Track historical and forward price curves.įlexible reporting and tracking of market risk metrics alongside position and PnL measures.Show intra-day “dirty” PnL against live open positions.Track historical PnL for WTD, MTD, YTD and LTD calculations.Monitoring daily PnL against desk, trader, country, portfolio, commodity, book, market and other metrics.Track live positions against historical positions, showing historical trends and deltas.Īdvanced PnL aggregation and reporting capability including:.Report positions in any unit of measure across portfolio, book, commodity, market and other metrics.
#Credit risk engine manual
Quants can integrate proprietary modelling within the platform alongside the extensive native capabilities.Įlimination of manual processes and the audibility, application integrity and documentation expected of enterprise level software enables staff to add more value to the business.Īggregates transactions from multiple sources to provide a consolidated on-the-fly position and risk management tool across multiple commodities enabling users to:
Single risk engine drives front office, credit risk and market risk with advanced analytics to simulate spot and forward prices, calculate M2M, VaR and other metrics. by adjusting volatilities and correlations.
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