SS&C Algorithmics Counterparty Credit Risk improves risk-based decision making by measuring market, counterparty exposure, XVAs and capital on a single platform. The solution empowers financial institutions with competitive advantage by providing accurate risk adjusted prices to clients via pre-deal simulations of incremental XVAs and optimizing limit utilization via timely and accurate measurement of credit exposure in real time. Sophisticated path dependent physical collateral models are considered in computing real-time counterparty exposure and advanced analytics in modeling settlement cash flows.
Real-time Exposures and XVAs - Calculate fully simulated exposures and XVA measures on a real-time and pre-deal basis with full path dependent collateral and standardized measures 24x7 for Front Office and Risk.
Reduce Capital Requirements - Qualify for CCR internal models approval and implement more capital efficient hedging strategies together with back testing support.
Rely on instrument coverage - Get trading book instrument coverage across financial instruments, foreign exchange, commodities and derivative products – spanning 20 geographic markets and 400 financial products.
24/7 Real-time Infrastructure - Accurate, real-time and pre-deal simulation for capturing trade impact on risk on a single risk platform. Perform trade amendments and limit checking within seconds. Delivers sub second response times in a 24x7 high availability architecture, across multiple global trading desks.
Single Infrastructure - Flexible and scalable infrastructure to deploy Real World, Risk Neutral, Historical Market, Stressed Market, Standardized CCR and other sets of analytics on single platform and user interface.
Regulatory Compliance - Compliance with Basel II.5/III standardized and internal model calculations of capital and the ability to measure impact of new deals on credit capital and return on capital. Increases return on capital and reduces RWAs with Basel Compliance. Computes standardized counterparty credit and risk exposure with Basel Current Exposure Method and SA-CCR methodologies in real-time.
XVA Pricing - Increase competitive advantage with accurate pricing of new deals and hedging counterparty exposures and XVAs, important for the XVA desk. Capture the effect of Wrong Way Risk in XVA pricing with sophisticated analytics.
Backtesting - Regulators require IMM approved Financial Institutions to perform CCR backtesting on an annual basis. IBM provides infrastructure and methodology for counterparty credit risk back testing.
Margin Impact on Exposures - Consider impact of Variation and Initial Margin impacts on exposure calculation. Model futures margin exchange across scenarios based on actual legal agreement term signed with counterparties.