On Premises or in the Cloud?
Calculate SA-CCR with marginal and forward metrics
The most advanced SA-CCR calculator implementation addressing main challenges of the regulation: complex pay-offs replication and asset class attribution.
Standardized Approach for Counterparty Credit Risk
Compute your RWA SA-CCR, forecast your capital costs on CSA and reallocated to individual operations. Have a consolidated view with other valuation adjustments and do pre-trade analysis right from your front-office system.
We extensively test our model against BIS framework CRE52 (former BCBS279) following line-by-line the EBA RTS-2019-02 recommendations as part of CRR2.
Robust Implementation
- Full asset classes coverage
- Drill down up to deal and leg level
- Access to all intermediate metrics
- Fast model updates using Rix Aggregation Engine
Replacement Cost
- Comprehensive CSA representation
- Handling of dependencies between Netting and Collateral sets
- V (Value), C (Collateral Amount) and NICA as input or computed by Everix
Potential Future Exposure (PFE)
- Delta computation: on-the-fly decomposition of pay-offs into European Options with supervisory volatility
- Auditability: granular information on each element of the pay-off decomposition
Dynamic Asset Class Allocation
- Asset Class Allocation based on EBA recommandations
- Using FRTB-like sensitivities and risk weights for hybrid products
Tailored Integration
- Flexible ETL to connect to your upstream and downstream systems
- Integration options: compute all in Everix or provide data
- Use Everix as a platform or as a module extending your existing risk eco-system
Tailored Integration
- Flexible ETL to connect to your upstream and downstream systems
- Integration options: compute all in Everix or provide data
- Use Everix as a platform or as a module extending your existing risk eco-system
Tailored Integration
- Flexible ETL to connect to your upstream and downstream systems
- Integration options: compute all in Everix or provide data
- Use Everix as a platform or as a module extending your existing risk eco-system
What-If Analysis
- Trade and Market what-if
- Pre-trade incremental impact estimation
- Run from Front-Office or Everix
- Use Everix Risk API to connect to other systems
Marginal SA-CCR
PFE and RC reallocation per trade
Life-time cost : SA-CCR Forward
Forward calculation based on market data diffusion:
- PFE
- RC
Consolidated view of all charges
- XVA
- IM
- SA-CCR
- Liquidity
Where Does it Run?
You can host it at your bank, in your Cloud, in our Cloud or even on a single server.
Get ready to see it in action!
Describe what you need and we will arrange a demo
