In recent years we have seen an incredible change in pricing financial products. This change has mainly been driven by the credit crisis turned into a sovereign debt 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:
- PFE, NEE, EE, ENE, EPE
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 analyzing the trades impact on the CCR and its related key ratios.