News from 2009

Credit Risk module completed

Phase 1 of the Verasis Risk Credit Risk module has been completed and is in beta test with the following functionality:

  • Nominal Credit Risk – Calculation of Credit Exposure based on receivable nominal and mark to market amounts. Includes a delta calculation for enhanced assessment of the credit risk in derivatives.
  • Credit Rating Spread Risk – based on the ability to perturb yield curves for credit rating spreads. Providing the risk manager with the ability to better identify exposure to credit classifications in portfolios.
  • Credit Stress / Sensitivity Testing – providing the user with the ability to stress test across two directions:
  • Stress testing of Credit Spreads by user designed basis point (BP) shift structures
  • Stress testing for Ratings downgrades and upgrades
Government Spread module completed

Verasis Risk has been enhanced as follows:

  • Government Spread is incorporated into the existing functionality (valuation of exposures to government/sovereign counterparties)
  • A Government Spread Risk module now allows users to calculate, report and stress test Government/Sovereign Risk

The Verasis Risk Yield Curve functionality has been enhanced to allow users to define curves that incorporate a Credit Spread over swap rates and that can be associated to government/sovereign counterparties.

Interest Rate Basis Spread module completed

Verasis Risk has been enhanced as follows:

  • Basis Spread is incorporated into the existing functionality (Mark to market valuations)
  • A Basis Spread Risk module allows users to calculate, report and stress test Basis Risk

The Verasis Risk Yield Curve functionality has been enhanced to allow users to define curves that incorporate Basis Spread and that can be associated to refix rate codes.

 

If you would like more general information on Veratec or Verasis, please contact us on +44 (0)20 7375 1000, or email us at info@verasis.com.

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