Counterparty Risk: In RiskSystem, Counterparty Risk concentrates on the market risk associated with positions held with risky counterparties. There are FOUR main subsections and the functionality of each is described briefly below. For a more
comprehensive description please refer to the FAQ section:
FAQ: Counterparty Risk
This section gives position data entry capability, which is a mirror of that found in the market risk section.
This section gives the user a breakdown of the Counterparty market risk by Market and Non-Market counterparty, and by asset class and position. It also gives information
on the risk of the counterparty in relation to account value and margin requirement
This section allows the user to fully parameterise the models necessary to determine an estimate of counterparty credit risk. It consists of generic preferences,
asset class forecast models and counterparty default models.
This section gives the main Counterparty Credit statistics, Expected Exposure, Credit Value Adjustment etc, for all the Market and Non-Market counterparties.