Algo Credit Exposure

Algo Credit Exposure is a comprehensive solution for measuring and managing counterparty credit risk, supporting the real time demands of operations while addressing all areas of Basel II for the trading book.

By providing a rich set of statistical and scenario-based results with industry-leading analytics for each counterparty, Algo Credit Exposure helps firms achieve business and regulatory objectives.

Benefits

Supports business activity and operations
More refined counterparty risk measurement gives institutions the ability to expand business activity and deal volume within a well-defined and controlled risk management strategy. Algo Credit Exposure can calculate overnight and intra-day counterparty exposures, taking into account full forward valuation and complex mitigation such as netting, collateral service agreements and collateral. Advanced support for stress testing is seamlessly incorporated, providing strategic insights into how economic downturns, adverse market events, or liquidity shocks might impact a firm's exposure.

Complete Basel II solution for measuring EPE
Algo Credit Exposure provides robust and realistic EPE values for over-the-counter derivatives and securities financing transactions. EPE calculations are based on full forward valuation across scenarios and time to maturity, providing a consistent measurement framework for the entire trading book. Algo Credit Exposure also takes into account all forms of credit risk mitigation permitted under Basel II, such as netting agreements and collateral service agreements.