Counterparty Credit Risk
Performance and Efficiency
As an extension of our market risk system, the calculation of counterparty credit risk is very similar. Counterparty credit risk can be evaluated and presented in many ways and for different purposes. Examples are the Potential Future Exposure, or PFE, and its close relative, the Credit Value Adjusted measure (CVA one of the many xVA:s now needed in the front office pricing).
Having a counterparty credit risk model that uses the same market data, pricing models, and having the same statistical assumptions, cater for less discrepancies between different desks and departments.
The ARMS CCR Module, our proprietary software design, will give you the most out of the next generation server hardware. Performance is key for simulation approaches. The ARMS CCR is optimized for running performance and low cost of ownership.