Credit Risk: In RiskSystem, Credit Risk is based on two standard methodologies. Credit Value Adjustment (CVA) is a full Monte-Carlo simulation of future cash flows combined with a market specified Credit Default Curve for each counterparty. The Credit Risk Matrix approach relies on static data being applied to the exposures to different aset classes and maturities.

 
This section allows the user to define the parameters that are used in the CVA calculation.

 
This section gives the output of the various routines inside the CVA algoritm and the CVA of individual counterparties and an aggregate CVA.

 
This section allows the user to fselect and apply a Credit Risk Matrix to the positions that they hold.