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Credit Risk Management Solutions via Full Monte Carlo

Potential Future Exposure (PFE) and Collateral (PFC)
Expected Exposure (EE)
Credit and Collateral Data Management
CVA, Regulatory and BASEL III Compliance


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One Single Universal Credit Risk Platform for All Markets: Robust, Advanced, Intuitive and Cost-Effective

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    Multi-trading: power, energy, commodity, banking, buy-side, asset, wealth and investment, hedge funds, insurance, treasury, corporate finance.
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    Multi-asset class: electricity, energy and commodity (physical and financial), fixed income, interest rates, money market, repos, debts, deposits, FX, mutual funds, stocks, indices.
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    Stay ahead of regulatory and internal risk valuation and reporting requirements within one single risk platform.
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    QR Risk is seamlessly integrated with QR Trading system. Alternatively, you can use your internal trading and transaction repository systems and use QR Risk as the enterprise risk server integrating them all. Manage, compute, monitor, mitigate and report risk in real-time.

Key Functions

Credit Data Management
Credit Data Management
Counterparty credit ratings, limits, collaterals, transition matrix, netting agreement, credit scoring. Early liquidation, collateral calling and hedging.
Credit Risk
Credit Risk
Full Monte Carlo valuation of Potential Future Exposure (PFE) at any percentile, Expected Exposure (EE). Realized and unrealized exposure. Expected Positive Exposure (EPE). CVA. BASEL III.
Potential Future Collateral
Potential Future Collateral  
PFC valuation via full Monte Carlo, expected shortfall as the average under the PFC tail. Real-time collateral actualization via MTM.
Stress Testing and Scenario Analysis
Stress Test & Scenario Analysis
The Monte Carlo method can be stressed by shifts and shocks on rate and price curves, credit rating downgrade, default transition matrix acceleration, PFC downgrade.
Real-time Risk Monitoring
Real-time Risk Monitoring
Collateral actualization. Pre-trade incremental PFE. Credit risk (PFE). Limits, reporting, custom threshold for warnings. Violation deal locking.
More Features
More Features 
Risk dashboard. Monte Carlo simulation configuration. Risk Statistics & visualization. Marginal & incremental risk.

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