Credit Risk Management
Actively Avoid Counterparty Defaults
With RiskEdge, you can actively identify & reduce exposure to Counterparties that are most vulnerable to defaulting even in far future. The system intelligently projects correlations amongst each risk factor to give you the overall future exposure for each Counterparty.
Potential Future Exposure (PFE): Global Standard in Credit Risk Management
- Your Counterparty Credit Risk is calculated with the globally accepted PFE Framework, which is thoroughly tested to ensure accurate results
- Each of your counterparties have their own PFE number, for multiple holding periods, which tells you exactly who is likely to have how much exposure at various points in future – so you can prepare for those exposures today
- [You can learn more about PFE in our Blog Post “Countering Credit Risk with PFE“]
Expected Exposure (EE): Your Second Line of Defense
- RiskEdge is one of the very few Global systems that enable Expected Exposure (EE) for Commodity trades and portfolios
- EE is the average exposure on a future date
Simulations: The Basis of a Robust Framework
- Measuring Credit Default value accurately really is mostly about how robust your price projection mechanism is – and we use Monte-Carlo Simulations – one of the most robust approaches.
- Path-dependent simulations ensure that there are no compromises on even longer term holding period estimates
- Price Curves are built far into the future for each an every benchmark market
Advanced Model: Bringing you the Best in Class
- The PFE model is built using the computationally intensive Multi-variate Geometric Brownian Motion method
- Correlations amongst various risk factors are taken far into the future to achieve correlated projected price movements
The Tech Edge: Accuracy, delivered at Blazing Speed
- RiskEdge uses latest advancements in technology to deliver more accurate results through intense processing, faster.
- Billions of Simulations can be delivered at a speed that you need with a little additional investment in hardware
- Parallel processing enables RiskEdge to deliver results in almost real-time