The Razor™ Counterparty Credit Risk module provides a comprehensive solution to measuring and managing counterparty credit risk. It has been designed to accurately measure counterparty credit risk across all asset classes and provides the decision support tools required by today’s credit risk manager to isolate areas of risk and take the appropriate action to prevent major losses occurring.
The Razor™ Counterparty Credit Risk module is fully integrated with the Razor™ Market Risk module – sharing the same infrastructure, trade details, rates, and pricing models. The integrated Market and Trading Credit Risk functionalities enables potential synergies and cost-efficiencies within a financial institution.
Key features of the Razor™ Counterparty Credit Risk module include:
- Easily extensible product coverage through the ability to add, price and simulate new products, as well as the ability to incorporate third party analytics or pricing models.
- High performance credit exposure and capital calculations. Multiple methodologies include PFE calculation using Monte Carlo simulation as well as MTM + AddOn across all major asset classes.
- Sophisticated “What-if” functionality, scenario analysis, back testing and sensitivity analysis to accurately model the impact of portfolio changes on credit exposure.
- Accurate capture of the credit mitigation effects of Netting and Collateral.
- Integrated limit management capability to enable credit limits to be set on key areas of risk concentration e.g. counterparty, country, industry, rating.
- Mixed risk model aggregation to support a single customer view of risk.
- Pre-deal check capability with full auditing. Credit limits can be checked on a pre-deal basis to en-sure all new deals conform to credit policy. If an executed deal violates credit policy a full audit trail of the deal, the dealer and the policy violation is provided to the risk manager.
- Excess management with full workflow support – excesses are automatically generated if credit policy is infringed, the Razor™ workflow capability ensures the right people are notified so prompt action can be taken.
- Compliance to Basel II and Basel III standards allowing banks to calculate their capital requirements in one consolidated platform.