Credit Risk Engine CRE.

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Presentation transcript:

Credit Risk Engine CRE

1. Introduction: Our Market Risk application has a comprehensive set of built-in risk calculations. Given a basic set of data it can compute various risk metrics in real-time. The application can be interfaced with OMS or the central database to obtain the necessary data, or it can be provided with data feeds. The application requires Securities Positions, Cash Positions, Transactions, Securities, Issuers, Counterparties, Currencies, Countries and Collaterals from the internal systems. And Market Data such as Ratings, Outlook, Credit Spreads, Prices, Indices, Exchange Rates, and Interest Rates. eurisco solutions ltd. Credit Risk Engine

2. Risk Metrics: The Credit Risk application can compute: Expected Exposure (EE) Exposure at Default (EAD) Replacement Cost (RC) Recovery Rate Expected Positive Exposure (EPE) Expected Negative Exposure (ENE) Probability of Default (PD) Loss Given Default (LGD) Expected Loss Total Loss Potential Future Exposure (PFE) at a given Confidence Level. eurisco solutions ltd. Credit Risk Engine

3. Credit Value-at-Risk and Credit Value Adjustment: The application has built-in algorithms to calculate: Credit Value-at-Risk (CVaR) at a given Confidence Level Debit Value-at-Risk (DVaR) at a given Confidence Level Credit Value Adjustment (CVA) Debit Value Adjustment (DVA). eurisco solutions ltd. Credit Risk Engine

4. Credit Risk Engine (CRE): eurisco solutions ltd. Credit Risk Engine

5. Additional Functions: Other facilities available are: Mark-to-Market Bilateral Netting Set-Off Termination Debt-to-Capital ratio Capital Expenditure Ratio. eurisco solutions ltd. Credit Risk Engine

6. Interfaces: There are various ways in which this application may be interfaced with in-house systems. Although direct access to the central database is preferred, data can also be supplied via data feeds. If the data feed option is taken then message formats such as csv, fixed, xml and FIX are available over ftp, sftp, ftps or http. eurisco solutions ltd. Credit Risk Engine