Solution Overview

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.

Credit Valuation Adjustment (CVA) Sensitivities

Credit Valuation Adjustment (CVA) is arguably the most hotly contested credit risk construct to arise in the aftermath of 2008. From contested modeling approaches to jurisdictional differences around charges for certain clients’ hedges, these hybrid calculations—accounting for credit as well as related market risk sensitivities—have upended derivatives markets. As global institutions continue to implement CVA in a “parallel run” status, and debates still simmer over usage of metrics like Debt and Funding Valuation Adjustment (DVA and FVA) as well, data and reporting teams have had to adopt on the fly.

As banks aggregate and roll CVA charges up across a portfolio, they are forced to cope with multiple netting agreements and different counterparty identifiers across countries. They also must pay close attention to differences in calculation, clearing costs, and reporting requirements (for example, the Fed has taken a much different view on modeling and approaches than originally suggested by Basel), even as these all continue to be adjusted. While this activity has rightly had a profound influence on derivatives pricing and valuation, AxiomSL views the final leg of the process—data aggregation and reporting—as equally important for proving in front of regulators that a bank’s CVA workflow is up to this critical task.

Resource Center

EBA publishes Opinion on transitional arrangements and credit risk...

The European Banking Authority (EBA) published today an Opinion on transitional arrangements and credit risk adjustments to mitigate the effect of the accounting standard IFRS 9 on prudential ratios...

Read More…

FINMA Publishes Circular On Credit Risks And Disclosure

The Swiss Financial Market Supervisory Authority FINMA has published the revised circular on credit risks and disclosure for banks. The regulations on credit risk capital requirements for banks...

Read More…

EBA consults on Guidelines on credit risk management practices and accounting...

The European Banking Authority (EBA) launched today a consultation paper on draft Guidelines on credit institutions' credit risk management practices and accounting for expected...

Read More…

Leading Spanish Bank Selects AxiomSL’s Strategic Analytics and Reporting...

AxiomSL’s enterprise-wide approach enhances analytics and controls throughout the organization while providing management with dashboards and internal and external reports...

Read More…

Awards


 
Asian Banker Award – Risk Management Awards 2016
Waters Rankings – Best Reporting System Provider
Waters Rankings – Best Reporting System Provider
RiskTech 100 2014 Category Winner Customer Satisfaction