Credit Risk is a set of quantitative measures that address the client’s customers’ (counterparties and issuers) obligations magnitude and the chance of loss due to client defaults and credit strength erosion.
RiskMonitor provides real time credit exposure pro forma for new deals, and limit compliance. The system covers all asset classes and provides through time and point in time PFE/EPE Gross and Net of Margin and Netting Agreements.
Limits administration and compliance monitoring includes work flows for pre and post trade breach report routing and allows for Term Ladder hierarchies. Limits may be established along any set of aggregation dimensions, including customer segments, credit ratings, countries, instruments, plus the counterparty’s corporate structure from child to parent. Limits can also be denominated in any measurement output, including Current and Potential Future Exposure, Notional Amounts, Economic Capital, etc.
RiskMonitor’s Credit Risk module includes a long term holding period method and a method suitable for margin/repo style business, where the “Margin Period of Risk” is over a shorter period of time related to the margin liquidation period.
RiskMonitor also calculates economic and regulatory capital and Credit Value Adjustment. RiskMonitor gives clients the ability to quickly see credit risk in actionable ways and with the combination of earnings provides valuable tools for portfolio optimization.