Counterpart Credit Risk - SA-CCR Online Calculator and xVA Implementation

<!DOCTYPE html> <html lang="en"> <head>  <title>Counterpart Credit Risk - SA-CCR Online Calculator and xVA Implementation</title> <meta http-equiv="Content-Type" content="text/html; charset= UTF-8"/> <meta charset="utf-8"> <meta name="viewport" content="width=device-width, initial-scale=1, shrink-to-fit=no"> <meta name="description" content="Open Risk Calculator - SA-CCR and other real world Quantitative Risk Software solutions"> <meta name="author" content="info@openriskcalculator.com"> <meta name="keywords" content="sa-ccr, counterparty credit risk calculator, cva calculator, open source, sa-ccr cost-effective implementation."> <link rel="icon" type="image/png" href="/favicon.png"/> <link rel="icon" type="image/png" href="https://example.com/favicon.png"/> <link href="https://fonts.googleapis.com/css?family=Open+Sans:300,400,700" rel="stylesheet"> <link rel="stylesheet" href="fonts/icomoon/style.css"> <link rel="stylesheet" href="css/bootstrap.min.css"> <link rel="stylesheet" href="css/jquery-ui.css"> <link rel="stylesheet" href="css/owl.carousel.min.css"> <link rel="stylesheet" href="css/owl.theme.default.min.css"> <link rel="stylesheet" href="css/owl.theme.default.min.css"> <link rel="stylesheet" href="css/jquery.fancybox.min.css"> <link rel="stylesheet" href="css/bootstrap-datepicker.css"> <link rel="stylesheet" href="fonts/flaticon/font/flaticon.css"> <link rel="stylesheet" href="css/aos.css"> <link rel="stylesheet" href="css/style.css"> <script src='https://www.google.com/recaptcha/api.js'></script> <script src="component/jquery/jquery-3.2.1.min.js"></script> </head> <body data-spy="scroll" data-target=".site-navbar-target" data-offset="300"> <div id="overlayer"></div> <div class="loader"> <div class="spinner-border text-primary" role="status"> <span class="sr-only">Loading...</span> </div> </div> <div class="site-wrap"> <div class="site-mobile-menu site-navbar-target"> <div class="site-mobile-menu-header"> <div class="site-mobile-menu-close mt-3"> <span class="icon-close2 js-menu-toggle"></span> </div> </div> <div class="site-mobile-menu-body"></div> </div> <header class="site-navbar py-4 site-navbar-target" role="banner"> <div class="navmen js-sticky-header"> <div class="container"> <div class="row align-items-left"> <div class="col-3 col-xl-3 d-none d-xl-block"> <h5 class="mb-0 pt-2 site-logo"><a href="index.html" class="h4 mb-0">Open Risk Calculator</a></h5> </div> <div class="col-7 col-md-7 d-none d-xl-block"> <nav class="site-navigation position-relative text-right" role="navigation"> <ul class="site-menu main-menu js-clone-nav mr-auto d-none d-lg-block"> <li><a href="#about-section" class="nav-link">About us</a></li> <li><a href="#saccr-calculator-section" class="nav-link">SA-CCR Calculator</a></li> <li class="has-children"> <a href="#" class="nav-link">R Packages</a> <ul class="dropdown"> <li><a href="#saccr-section" class="nav-link">SA-CCR</a></li> <li><a href="#xva-section" class="nav-link">xVA</a></li> <li><a href="#trading-section" class="nav-link">Trading</a></li> </ul> </li> <li><a href="#contact-section" class="nav-link">Contact Us</a></li> </ul> </nav> </div> <div class="col-2 col-md-2 d-none d-xl-block"> <div class="Headertop"> <ul> <li><a href="index.html">EN</a>/</li> <li><a href="index - gr.html">GR</a>/</li> <li><a href="index - de.html">DE</a></li> </ul> </div> </div> <div class="col-12 col-sm-5 d-inline-block d-sm-none ml-md-0"><div class="Headertop" style="text-align: left;"> <ul> <li><a href="index.html">EN</a>/</li> <li><a href="index - gr.html">GR</a>/</li> <li><a href="index - de.html">DE</a></li> </ul> </div></div> <div class="col-10 col-xl-9 col-sm-6 col-md-5 d-inline-block d-xl-none"> <h5 class="mb-0 site-logo" style="text-align: center;"><a href="index.html" class="h4 mb-0">Open Risk Calculator</a></h5> </div> <div class="col-12 col-sm-5 d-sm-block d-xl-none ml-md-0 d-none"><div class="Headertop" style="text-align: left;"> <ul> <li><a href="index.html">EN</a>/</li> <li><a href="index - gr.html">GR</a>/</li> <li><a href="index - de.html">DE</a></li> </ul> </div></div> <div class="col-2 col-sm-1 d-inline-block d-xl-none ml-md-0" style="position: relative; top: 3px;"><a href="#" class="site-menu-toggle js-menu-toggle float-right"><span class="icon-menu h3"></span></a></div> </div> </div> </div>  <div id="popup-box" > <img src="images/close.png" alt="popup-close" id="popup-close" /> <div id="popup-box-content"> <h2>Newsletter Subscription</h2> <form id="popup-form" method="POST" action="subscribe.php">  <input type="text" class="popup_text" name="email" placeholder="Your Email address" />  <input type="submit" class="popup_button" value="Sign up" name="Submit"/> </form> </div> </div>  </header> <div class="site-blocks-cover overlay" style="background-image: url(images/signs.jpg);" data-aos="fade" id="home-section"> <div class="container"> <div class="row align-items-center justify-content-center"> <div class="col-md-8 mt-lg-5 text-center"> <h1 class="text-uppercase" data-aos="fade-up" data-aos-delay="100">SA-CCR & xVA</h1> <h1 class="text-uppercase" data-aos="fade-up">Open-Sourced</h1> <div data-aos="fade-up" data-aos-delay="100"> <br><br> <a href="#about-section" class="btn smoothscroll btn-primary mr-2 mb-2">Read more</a> </div> </div> </div> </div> <a href="#about-section" class="mouse smoothscroll"> <span class="mouse-icon"> <span class="mouse-wheel"></span> </span> </a> </div> <div class="site-section cta-big-image" id="about-section"> <div class="container"> <div class="row mb-10 justify-content-center"> <div class="col-md-10 text-center"> <h2 class="section-title mb-3" data-aos="fade-up" data-aos-delay="">About Us</h2> <h3 class="h3 mb-4 text-black" data-aos="fade-up" data-aos-delay="100">Real world Quantitative Risk Software solutions</h3> <p class="lead" data-aos="fade-up" data-aos-delay="100">The tools provided have been developed based on multiple years of working experience in the financial industry. This is distributed among major financial software providers including Calypso Technologies, banks, hedge funds and consultancies.</p> <p class="lead" data-aos="fade-up" data-aos-delay="100">With the first R package being published in October 2015, the solutions have matured over the past years via feedback received from professionals working in: </p> <p data-aos="fade-up" data-aos-delay="100" class="text-left"> <div class="mb-4"> <ul class="list-unstyled ul-check success"> <li> <p data-aos="fade-up" data-aos-delay="100" class="text-left">Tier I Banks. </p></li> <li><p data-aos="fade-up" data-aos-delay="100" class="text-left">Big Three Credit Ratings Agencies. </p></li> <li><p data-aos="fade-up" data-aos-delay="100" class="text-left">Major Buy Side Institutions. </p></li> <li><p data-aos="fade-up" data-aos-delay="100" class="text-left">Big Four Consultancies. </p></li> </div> <div class="mb-4"> <p data-aos="fade-up" data-aos-delay="100" class="lead" >Also, academics from all around the world have utilised our systems and provided valuable feedback. </p> </div> </div> </div> </div> <section class="site-section cta-big-image" id="saccr-section"> <div class="container"> <div class="row mb-12 justify-content-center"> <div class="col-md-12 text-center"> <h2 class="section-title mb-3" data-aos="fade-up" data-aos-delay="">SA-CCR R Package</h2> <p class="lead" data-aos="fade-up" data-aos-delay="100"> Computes the Exposure-At-Default based on the standardized approach of CRR2 (SA-CCR). Apart from the standard version, the simplified version of SA-CCR has also been included, as well as the OEM methodology. Multiple trade types of all the five major asset classes are being supported including the 'Other' Exposure and, given the inheritance- based structure of the application, the addition of further trade types is straightforward. The application returns a list of trees per Counterparty and CSA after automatically separating the trades based on the Counterparty, the CSAs, the hedging sets, the netting sets and the risk factors. The basis and volatility transactions are also identified and treated in specific hedging sets whereby the corresponding penalty factors are applied. All the examples appearing on the regulatory papers (both for the margined and the un-margined workflow) have been implemented including the latest CRR2 developments. The above mentioned features have been coded in the <a href="https://www.r-project.org/">R</a> programming language and you can browse through its <a href="https://cran.r-project.org/web/packages/SACCR/SACCR.pdf">documentation</a> or download it from R Studio (it appears on the package list as SACCR) . <p data-aos="fade-up" data-aos-delay="100" class="text-left"> <strong>Some of the features of the application:</strong> <br> <div class="mb-4"> <ul class="list-unstyled ul-check success"> <li> <p data-aos="fade-up" data-aos-delay="100" class="text-left">A tree-based structure is returned as a result which makes drilling into the underlying calculations and the contribution of each trade straightforward.</p></li> <li><p data-aos="fade-up" data-aos-delay="100" class="text-left">The application automatically separates the trades on the corresponding hedging and netting sets.</p></li> <li><p data-aos="fade-up" data-aos-delay="100" class="text-left">The algorithm caters for the case of multiple netting agreements per counterparty. </p></li> <li><p data-aos="fade-up" data-aos-delay="100" class="text-left">The basis and volatility transaction are identified and the relevant penalty factors are applied.</p></li> <li><p data-aos="fade-up" data-aos-delay="100" class="text-left">Multiple features described in the FAQs and technical standards have been implemented, including the adjustments needed for the negative interest rates cases.</p></li> <li><p data-aos="fade-up" data-aos-delay="100" class="text-left">All the examples appearing on the regulatory paper (including the margined and the un-margined workflow) have been implemented. </p></li> </div> </div> </div> </div> </section> <section class="site-section cta-big-image" id="saccr-calculator-section"> <div class="container"> <div class="row mb-5"> <div class="col-12 text-center"> <h2 class="section-title mb-3">SA-CCR Calculator</h2> </div> </div> <p class="lead">Below you can see a sample SA-CCR Calculator which is provided strictly for educational purposes. It supports only a single counterparty & netting set, please <a href="#contact-section">contact us</a> for the full version.</p> <iframe src="https://shiny.openriskcalculator.com" style="border: 2px solid black; width: 100%; height: 850px;"> It looks like your browser doesn't support iframes. </iframe> </div> </section> <section class="site-section border-bottom bg-light" id="xva-section"> <div class="container"> <div class="row mb-12 justify-content-center"> <div class="col-md-12 text-center"> <h2 class="section-title mb-3" data-aos="fade-up" data-aos-delay="">xVA R Package</h2> <p class="lead" data-aos="fade-up" data-aos-delay="100">An implementation of the <strong>xVA</strong> world including CVA, DVA, FBA, FCA, MVA and KVA(under BA-CVA, SA-CVA and standard approach)</a>. xVA groups as an acronym all the possible credit risk valuation adjustments currently suggested in the market. Starting from <a href="https://en.wikipedia.org/wiki/Credit_valuation_adjustment">CVA</a> which incorporates the default risk of the counterparty in the market price of the trade, the industry proceeded with DVA which is actually the CVA as seen from the counterparty’s point of view and it further continued adding terms, for example FVA which represents the benefit/cost of funding the MtM of a trade due to imperfect collateralization, the MVA which is linked to the initial margin which needs to be posted to the counterparty or the CCP and the KVA which is the effect of the regulatory capital that banks need to hold for this transaction. You can find further info about xVA in in the latest book of Jon Gregory: <a href="http://www.cvacentral.com/books/credit-value-adjustment/">“the xVA Challenge”</a>. The latest regulatory capital charge methodologies have also been implemented including BA-CVA & SA-CVA. The above mentioned features have been coded in the <a href="https://www.r-project.org/">R</a> programming language and you can browse through its <a href="https://cran.r-project.org/web/packages/xVA/xVA.pdf">documentation</a> or download it from R Studio (it appears on the package list as xVA). <p data-aos="fade-up" data-aos-delay="100" class="text-left"> <strong>Some of the features of the application:</strong> <br> <div class="mb-4"> <ul class="list-unstyled ul-check success"> <li> <p data-aos="fade-up" data-aos-delay="100" class="text-left">Calculates a number of valuation adjustments including CVA, DVA, FBA, FCA, MVA and KVA.</p></li> <li><p data-aos="fade-up" data-aos-delay="100" class="text-left">A two-way margin agreement has been implemented.</p></li> <li><p data-aos="fade-up" data-aos-delay="100" class="text-left">For the KVA calculation the following regulatory frameworks are supported: CEM, (simplified) SA-CCR, OEM and IMM.</p></li> <li><p data-aos="fade-up" data-aos-delay="100" class="text-left">The probability of default is implied through the credit spreads curve.</p></li> <li><p data-aos="fade-up" data-aos-delay="100" class="text-left">Currently, only IRSwaps are supported for the simulated-based exposure calculation, however, if the input from SA-CCR is utilized then multiple asset classes can be covered - please <a href="#contact-section">Contact us</a> for further support.</p></li> </div> </div> </div> </div> </section> <section class="site-section border-bottom bg-light" id="trading-section"> <div class="container"> <div class="row mb-12 justify-content-center"> <div class="col-md-12 text-center"> <h2 class="section-title mb-3" data-aos="fade-up" data-aos-delay="">Trading R Package</h2> <p class="lead" data-aos="fade-up" data-aos-delay="100">Contains performance analysis metrics of track records including entropy-based correlation and dynamic beta based on the Kalman filter. The normalized sample entropy method has been implemented which produces accurate entropy estimation even on smaller datasets while for the dynamic beta calculation the Kalman filter methodology has been utilized. On a separate stream, trades from the five major assets classes and also functionality to use pricing curves, rating tables, CSAs and add-on tables. The implementation follows an object oriented logic whereby each trade inherits from more abstract classes while also the curves/tables are objects. Furthermore, odds calculators and P&L back-testing functionality has been implemented for the most widely used betting/trading strategies including martingale, DAlembert, Labouchere and Fibonacci. Some basic functionality about climate risk was also added in the latest version. The above mentioned features have been coded in the <a href="https://www.r-project.org/">R</a> programming language and you can browse through its <a href="https://cran.r-project.org/web/packages/Trading/Trading.pdf">documentation</a> or download it from R Studio (it appears on the package list as Trading). </div> </div> </div> </section> <section class="site-section cta-big-image" id="contact-section"> <div class="container"> <div class="row mb-5"> <div class="col-12 text-center"> <h2 class="section-title mb-3">Contact Us</h2> </div> </div> <div class="row mb-5"> <div class="col-md-4 text-center"> <p class="mb-4"> <span class="icon-room d-block h4 text-primary"></span> <span><a href="https://www.google.com/maps/place/London/">London, United Kingdom</a></span> </p> </div> <div class="col-md-4 text-center"> <p class="mb-4"> <span class="icon-phone d-block h4 text-primary"></span> <a href="tel:+44 7404 191130">+44 7404 191130</a> </p> </div> <div class="col-md-4 text-center"> <p class="mb-0"> <span class="icon-mail_outline d-block h4 text-primary"></span> <a href="mailto:info@openriskcalculator.com">info@openriskcalculator.com</a> </p> </div> </div> <div class="row"> <div class="col-md-12 mb-5"> <form method="post" action="emailprocessor.php" name="myemailform"> <h2 class="h4 text-black mb-5">Contact Form</h2> <div class="row form-group"> <div class="col-md-12"> <label class="text-black" for="fullname">Name</label> <input type="text" name="fullname" class="form-control"> </div> </div> <div class="row form-group"> <div class="col-md-12"> <label class="text-black" for="email">Email</label> <input type="text" name="email" class="form-control"> </div> </div> <div class="row form-group"> <div class="col-md-12"> <label class="text-black" for="message">Message</label> <textarea name="message" id="message" cols="30" rows="7" class="form-control" placeholder="Please enter your message here..."></textarea> </div> </div> <div class="g-recaptcha" data-sitekey="6LewRA4pAAAAABQRJz3rFvqKXeIK2p130vkWWFsM"></div> <div class="row form-group"> <div class="col-md-12"> <input type="submit" value="Send Message" name='submit' class="btn btn-primary btn-md text-white"> </div> </div> </form> </div> </div> </div> </section> <footer class="site-footer"> <div class="container"> <div class="row"> <div class="col-md-9"> <div class="row"> <div class="col-md-5"> <h2 class="footer-heading mb-4">About Us</h2> <p>Real world Quantitative Risk Software based on solid working experience in the financial industry.</p> </div> <div class="col-md-3 ml-auto"> <h2 class="footer-heading mb-4">Quick Links</h2> <ul class="list-unstyled"> <li><a href="#about-section" class="smoothscroll">About Us</a></li> <li><a href="#services-section" class="smoothscroll">Our Services</a></li> <li><a href="#saccr-calculator-section" class="smoothscroll">SA-CCR Calculator</a></li> <li><a href="#contact-section" class="smoothscroll">Contact Us</a></li> </ul> </div> </div> </div> <div class="col-md-3"> <h2 class="footer-heading mb-4">Newsletter Subscription</h2> <form action="newsletterprocessor.php" method="post" class="footer-subscribe"> <div class="input-group mb-3"> <input type="text" name="email" class="form-control border-secondary text-white bg-transparent" placeholder="Enter your Email"> <div class="input-group-append"> <input type="submit" type="submit" name='Sign Up' value='Sign Up'> </div> </div> </form> </div> </div> <div class="row pt-5 mt-5 text-center"> <div class="col-md-12"> <div class="border-top pt-5"> <p>  Copyright Open Risk Calculator 2015 - ©<script>document.write(new Date().getFullYear());</script> All rights reserved | This template is made by <a href="https://colorlib.com" target="_blank" >Colorlib</a>  </p> </div> </div> </div> </div> </footer> </div>  <script src="js/jquery-3.3.1.min.js"></script> <script src="js/jquery-ui.js"></script> <script src="js/popper.min.js"></script> <script src="js/bootstrap.min.js"></script> <script src="js/owl.carousel.min.js"></script> <script src="js/jquery.countdown.min.js"></script> <script src="js/jquery.easing.1.3.js"></script> <script src="js/aos.js"></script> <script src="js/jquery.fancybox.min.js"></script> <script src="js/jquery.sticky.js"></script> <script src="js/isotope.pkgd.min.js"></script>  <script src="https://cdnjs.cloudflare.com/ajax/libs/jquery-cookie/1.4.1/jquery.cookie.min.js"></script> <script src="js/list-builder.js"></script> <script src="js/main.js"></script> <script> $(document).ready(function(){ // Show hide popover $('.dropdown a').click(function(){ $(".dropdown").slideUp(); }); $( ".has-children" ).hover(function() { $(".dropdown").show(); }); $('.site-mobile-menu .site-nav-wrap a').click(function(){ $('body').removeClass('offcanvas-menu'); $('.arrow-collapse').removeClass('active'); $('.arrow-collapse').addClass('collapsed'); $('.collapse').removeClass('show'); }); }); </script> </body> </html>

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Counterpart Credit Risk - SA-CCR Online Calculator and xVA Implementation