News about Verasis Risk

Credit / Debit Value Adjustment (CVA/DVA) development completed

Verasis Risk 4.0 has been enhanced to provide a clear and effective solution to the CVA / DVA requirements of Financial Institutions and Corporate Treasury operations. These include the ability to:

  • Calculate the CVA (and DVA) accounting impact of your derivative portfolios
  • Identify risk reducing trades and perform pre-trade checks against existing CVA exposure levels
  • Assess the impact of changes in the market on CVA exposures
  • Meet the Counterparty Exposure regulatory requirements of Basel III & CRD4 with a minimum of fuss and resource
Counterparty Credit Risk commences beta testing

Verasis Risk 4.0 has been enhanced to provide the ability to manage and access CCR on an intra-day basis by combining:

  • The provision VaR, Interest Rate Sensitivity, FX sensitivity, Volatility Sensitivity at a counterparty level (and counterparty group)
  • Counterparty exposure limits at both absolute and concentration levels
  • CSA agreement terms
  • What-if functionality to perform impact analysis of potential trades across counterparties across all Risk measurements
Hedge Effectiveness module enhancements commence beta testing

The Hedge Effectiveness module provides the full range of requirements for Cash Flow and Fair Value business. These include:

  • Retail balance interface, behaviour modelling and adjustment
  • Hedge/derivative trade interface
  • Relationship allocation and hypothetical trade generation
  • Prospective, retrospective testing: regression analysis and validation
  • Effectiveness calculation
Cross Currency Swaps & Basis Risk enhancement

Verasis Risk 3.3 has been enhanced to provide the following additional functionality:

  • Definition and generation of cross currency basis curves
  • Use of cross currency basis curves in valuation processes
  • Allow users to allocate yield curves to specific trades for the purposes of valuation and analysis
  • Users can allocate independent curves for both the Forward Rate implication and the Discounting processes
Collateral module completed

The Collateral module has been completed and is in beta test with the following functionality:

  • Defining collateral counterparties subject to collateral agreements, along with the critical terms of the agreement (e.g. Spot FX inclusion, collateral currency, etc.)
  • A decomposition function, allowing the isolation of the impact of P&L movement between interest rate movement, FX rate movement, matured trades and new trades
  • Stress testing function to provide details of impact of stress and VaR tests on collateral position
  • Maturity ladder function displaying profile of collateral positions
  • Collateral Trade File generation and transmission
Stress Valuation completed

The Mark to Market module has been enhanced to provide the following:

  • Full valuation against stress market data scenarios
  • Impact analysis of the stress scenario
VAR – Basis Curves goes live in 3.1

Verasis Risk 3.1 has been enhanced to allow Basis Curves to be used in the calculation of Value at Risk (Historical Simulation methodology).

The VaR function will imply forward cash flow rates and amounts for floating cash flows using the basis curves.

Automated Archiving goes live in 3.1

The Automated Archiving and Recovery module has been completed and fully integrated into Verasis Risk 3.1

The Archiving functionality of the module allows users to perform both ad hoc and scheduled archiving of Trade/Cash Flow and Market data.

The Recovery functionality of the module allows users to recover archived Trade/Cash Flow and Market data.

The Liquidity module has been enhanced to meet the latest requirements of the FSA and ECB

The enhancements include the ability to define, run and analyse stress and shock scenarios across the following contributing elements:

  • Market pricing (interest rate, FX rate and volatility rate)
  • Product / franchise (market access and availability)
  • Customer / counterparty viability

The enhancement provides institutions with the ability to define scenarios at both granular and market wide levels and hence perform both systemic and idiosyncratic stress tests.

Basis and Credit Spread in Yield Curves

Basis and Credit spread functionality has been developed and incorporated into the Yield Curve and Valuation activities of Verasis Risk.

  • Spread Curve Generation: Enhancement to existing Yield Curve functionality along with the ability to define Basis and Credit Spread curves.
  • Valuation and reporting using Basis Spread Curves: Enhancement of existing Verasis Risk functionality to incorporate Basis Curves into valuation routines and the development of additional Sensitivity Reports.
  • Valuation and reporting using Credit Spread Curves: Enhancement of existing Verasis Risk risk functionality to incorporate Government / Sovereign Curves into valuation routines and the development of additional Credit Risk Reports.
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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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