RVCredit Risk Management

RVCredit,  the RiskVal credit risk solution,  is a certified “Solution Partner” by Markit. RVCredit is fully integrated with Markit’s CDS, LCDS, RED, and Loan data as a complete credit risk system for trading and risk management. The RiskVal Credit solution is powered by Markit’s QUOTE as real-time data into our live risk management framework to enable risk managers to achieve better transparency in risk and P/L management. RiskVal’s credit solution also integrates with Markit MTP/DTCC for straight-through processing (STP) for trade confirmation and settlement.  RVCredit is a full front to back credit derivative trading platform.

The RiskVal credit solution is being used by institutional  banks and hedge funds. RVCredit handles credit portfolios sizes from large to small.   Tested in production  throughout  the most challenging credit markets ever in 2008, RVCredit has been proven for correctly handling  valuation, default event management, and risk management.

Advanced Risk Management Features

RiskVal ‘s credit solution covers the most comprehensive range of risk measures. It is the perfect fit for single name trades, index vs single name trades, correlation trades, and every structured credit trader who is serious about their portfolio risk and P/L attribution.

For each risk report, RiskVal offers a GUI user-interface to allow a trader or risk manager to flexibly navigate portfolio risks.   Traders and risk managers can drill-down through the risk reports in RiskVal at book, strategy, sub-strategy, and/or  trade levels to completely analyze the risk.

The following are examples of the advanced features and reports currently available

    Single Name risks

  •   Spread dV01 and Spread bucket dV01
  •   Jump To Default (JTD) risk,  Jump To Risk Free (JTRF) risk
  •   Recovery Risk, Recovery Given Default (RGD) risk
  •   Single name bucket risk by credit spread report
  •   Single name bucket risk by Industry report
  •   Single name bucket risk by region report
  •   Top 20 JTD, Widest spread report
  •   Linkage from single name risk to the actual trade(s) in portfolio

    Index and Tranche risks

  • Index spread dV01 and Spread bucket dV01
  • On-The-Run (OTR) equivalent and bucket OTR equivalent Index NAV, Basis, Expected loss, Probability of default
  • Tranche model delta, single name delta, spread dV01, Expected loss
  • Tranche attachment/detachment corr01
  • Tranche base correlation fitting and implied

    P/L attributions report

  • FX P/L, Rate P/L, Coupon P/L, Theta P/L
  • Index Parallel and  non-Parallel P/L, Gamma P/L
  • Single Name P/L, Bond Basis P/L, Recovery P/L
  • Corr01 Non-SS P/L, Corr01 SS P/L, and fitting Non-SS & SS P/L.

    Correlation risks

  • Correlation risks and correlation equivalent risks
  • Enhanced correlation risk for super senior tranche

    Interest rate risks

  • Interest rate dV01 and bucket dV01 for multi-currencies