Credit Risk

RiskVal Credit Risk is a full-blown framework designed for the most demanding trading and risk management professionals Injected with the experience and industry knowledge of market participants and in-house quantitative expertise. RiskVal Credit Risk presents a reliable platform for all market conditions and trading strategies.

RiskVal Credit Risk provides a comprehensive risk package covering asset classes of CDS, indexes, index options, index tranches, bespoke CDOs, NTD baskets, and interest rate swaps. The risk reports allow for monitoring detailed risk measures ranging from credit spread risk and interest rate risk to correlation risk and index basis risk for firm-wide portfolios or individual transactions. Utilizing all the latest market practices, including time-dependent index matching, base correlation mapping, a stochastic recovery model, and error-correction techniques, our risk engine and risk reports ensure the most robust data with no bias. Combined with our fluency in interface design, traders and risk managers can interact with the risk measures and design their trading strategy or execute and control risk management tasks efficiently.

Evolved from the Standard Risk Package, the RiskVal Advanced Credit Analytics package provides extensive ways to derive insightful information using basic risk measures. Its VaR monitoring tool allows for tracking the daily VaR fluctuation. RiskVal also provides attribution analysis by breaking down the VaR into asset classes, which enables the user to quickly locate the sources of risk.

The Advanced Credit Analytics solution also offers proactive methods of designing hypotheses on market trends. RiskVal provides flexible tools to perform scenario analysis on firm-wide or individual portfolios based on user-defined credit spreads, correlation and time horizon conditions. For users handling cross-market portfolios, our solution allows for beta analysis on various index families using the industry standard PCA method on historical data. Traders can identify their exposure to different markets and automatically construct hedging strategies accordingly.

Seamlessly blending in all critical risk measures, the P/L Reports provide an integrated view on daily P/L attribution. Without the usual lengthy wait, the trader and risk manager can access the report immediately after market close and easily understand how the portfolio is performing.