Custom Risk Management Solutions

Custom Risk Management Solutions

CompatibL offers its clients a range of risk management solutions packed in the rich client interface. Among them the following ones obtain the leading positions:
→ An integrated solution for calculating PFE and CVA for derivative portfolios using a high performance Monte Carlo simulation engine:
• PFE and CVA calculations (including deal price, deal aging, collateral posting and netting agreements) for a portfolio of interest rate swaps and derivatives;
• extensive model library as well as a variety of acceleration methods for performing real-time Monte Carlo calculations;
• batch process for Monte Carlo simulation of credit risk, including risk analytics;
• rich client application for analysis and drilldown of the calculation results;
• integration of calculation results with the in-house credit limits tool;
• incremental credit risk calculations for intraday position updates.
→ A multi-asset real time P&L application:
• real-time collecting and aggregating streams of position, price, valuation, risk and custom data feeds:
- third party market integration,
- third party market analytics integration,
- additional derivatives analytics created by CompatibL;
• accurate P&L calculations, roll-ups and other custom bucketing operations:
- Java server,
- C++ calculation engine,
- .NET client;
• distribution of the results among traders' desks or within middle and back office.