New Software Releases Covering Credit and Market Risk

For credit risk, the new Universal Credit Risk Add-in calculates a portfolio’s exposure to counterparty risk. A major feature is the use of an analytical methodology which provides a considerable speed advantage over traditional Monte Carlo approaches and which supports default correlations. Instantaneous calculation of credit risk enables real-time monitoring by traders and risk managers. For market risk, the updated release of Universal VaR Add-in now also supports historical Garch simulation without a variance/correlation table. This considerably improves robustness and accuracy. The calculation and comparison of Analytical, Monte Carlo, stress and historical Garch VaR enhances risk management. The Universal VaR Add-in calculates a portfolio’s exposure to market risk and expresses the exposure in terms of Value-at-Risk (VaR). It also calculates ‘Incremental VaR’ (the incremental effect of a single trade on the whole portfolio’s VaR). Cash flows are automatically mapped to multiple vertices. The add-in also calculates the historical variances and correlations between assets.


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