High profile counterparty failures have highlighted the need for accurate valuation and robust management of credit risk. At the same time, Basel III has significantly raised levels of capital that must be held against credit default risk and CVA volatility.
MX.3 delivers timely measurement and consolidation of credit exposures across business lines. Effective risk mitigation strategies can be implemented via hedging, netting or collateral, and of course via pre-deal limits control. The use of capital and funding resources is improved across the organization through upfront pricing of xVA costs, selection of cost effective execution options and optimization of collateral inventories.
Real-time and accurate monitoring of credit risk
MX.3 delivers a comprehensive range of risk measures across all asset classes, without data or modeling approximations. PFE, EPE, CVA and Basel III IMM rely on a high performance American Monte Carlo simulation offering pre-deal limits check and prospective profitability analysis. Other analytical or hybrid methods are also supported.
Timely and global consolidation of credit exposures
MX.3 solves the problem of fragmented infrastructures and processes by implementing sophisticated risk measures, limits management and credit approval workflows within a single solution connected to multiple trading sources.
If you wish to learn more, please read our MX.3 for Credit Risk flyer.
Real-Time Risk Measures
Pre-Settlement. Settlement. Issuer. RWA. Expected/Unexpected loss. Concentration measures.
Credit Risk Analytics
Monte Carlo simulated PFE, EPE, ENE and EE. Full consideration of Netting, collateral and portfolio effects. Wrong-way risk. Real world and risk neutral.
Regulatory Compliance Framework
Real-time SA-CCR with pre-packaged EAD and RWA. Large exposures. CVA Charge (BA-CVA and SA-CVA). Basel formulas (EPE, EAD and Effective Maturity). IFRS 13 CVA marginal allocations. Stress Tests.
Credit Review process. Centralized limit administration and monitoring. FO systems pre-deal check. Excess management.
Interactive business dashboards. Live alerts. Drill-down to path-wise trade MtMs and grids of risks factors.
Credit Data Management
Enterprise credit data repository. Extensible data model. Ratings, credit curves and credit curve proxies. Data validation.
Flexible Limits & Metrics
User defined metrics. Formula parser. Extensible limits structures. Add-on tables Generator. Extensibility API.
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