RiskSystem

Credit Value Adjustment:

This section provides a range of functionality to allow the user to determine Counterparty Credit Risk using metrics such as Expected Exposure (EE) and Credit Value Adjustment (CVA). These figures may be used for both counterparty risk management and regulatory risk reporting.

This gives a breakdown of the models and the parameters used to estimate expected exposure on an Generic Market basis.

This gives graphs of the Expected Exposure and related counterparty credit information in a graphical manner. The data may also be displayed in a tabular form if required.

This gives graphs of the Expected Exposure and related counterparty credit information in a graphical manner. The data may also be displayed in a tabular form if required.

This gives the Credit Value Adjustment for a single counterparty, and it gives a breakdown over the period of the calculation.

This gives the overall credit risk in terms of CVA for all Market and Non-Market Counterparties

Credit Value Adjustment - Historical Aggregate

This gives the overall credit risk in terms of CVA for all Market and Non-Market Counterparties, based around data taken from a previous historical data set.