Regulatory Counterparty Risk
The regulatory capital module allows the evaluation of regulatory capital for counterparty risk, under any one of the three approaches proposed by the Basel III framework, Current Exposure, Standardized and Internal Models.
Main Features
Use different approaches to measure counterparty risk arising from derivatives positions:
- Current Exposure Method (add-on) allowing for different sets of coefficients (internal and regulatory) across instruments, maturities, currency pairs, and other risk factors.
- Internal Models Method based on simulation of net exposures and risk factors using different correlation assumptions
Produce regulatory counterparty risk reporting
- Capital Requirements for Counterparty Risk
- Stressed Expected Positive Exposure
- CVA Value-at-Risk
