Verasis Counterparty Credit Risk

Technical information

Counterparty Credit Risk (CCR) is a multi-dimensional form of risk, driven by exposure to the counterparty, the credit quality of the counterparty, and the interaction of these exposures, both with each other and other risk factors (market rates, risk concentrations etc.).

Calculating the exposure to each Counterparty is critical, but so is:

  • Establishing where the exposure lies
  • Determining what produces the exposure
  • Assessing the impact of market data shifts and stresses on the exposure and profitability
  • Assessing the impact of business assumptions on exposures and profitability
  • Performing pre-trade impact analysis

The Verasis CCR module is a combined risk and trading suite of tools that enables you to determine:

  • Exposure in terms of both absolute amounts and concentrations
  • Exposure and P&L impact assessment, both in terms of absolute amounts and concentrations from shifts and stresses
  • The provision of VaR, Interest Rate Sensitivity, FX sensitivity, Volatility Sensitivity at a counterparty level (and counterparty group)
  • ‘What-if’ functionality, to perform impact analysis of potential trades/trade tear-up across counterparties and across all risk measurements
  • Collateral agreement terms