Capital Markets & Investment › Risk & Compliance (Front/Mid Office) › Credit Risk (Counterparty)
Vector Risk
Cloud-based trading risk engine covering counterparty exposure, xVA and market risk for banks and other derivatives users.
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Overview
Vector Risk offers a software-as-a-service risk analytics engine for derivatives portfolios. Its counterparty credit risk module calculates real-world potential future exposure and risk-neutral valuation adjustments, including credit, debit and funding adjustments, and banks also use the engine for stressed exposure and the standardized approach to counterparty credit risk.
The same engine covers value at risk, FRTB, ISDA SIMM initial margin, P&L attribution and hedge effectiveness testing. The service is delivered cloud-native, so clients do not operate the calculation infrastructure themselves.
Key Features
- + Potential future exposure
- + xVA calculation
- + SA-CCR exposure
- + Market risk and FRTB
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