Vector Risk delivers a pre-packaged solution, whereby curve definitions contain the categorizations (credit quality and industry sector, market cap, economy and commodity bucket). Trades contribute automatically based on the risk factors they attach to for pricing. The sensitivity definitions are generalized by currency and type meaning the number of actual definitions is kept to a minimum and complete coverage of risk is assured. The sensitivity results become the inputs to our standard model calculation which generates the capital numbers at desk level and for the enterprise as a whole.

The Internal model requires a large number of historic or monte carlo simulations (stress period, current period with full and constrained factors, all at five liquidity horizons). Vector Risk bundles all of these simulations into a single task and applies the Basel formula across the expected shortfall results to give the regulatory capital. By simply linking your business unit hierarchy to the internal method, the system runs the calculations at desk level and for the enterprise as a whole. The requisite supporting analytics including VaR, Backtesting and Theoretical P&L are supplied, as is a calibration calculation to identify the stress period in the history set.

A fully featured Historical or Monte Carlo VAR calculation. Specify attributions for VAR (breakdown by market segment), proxying of rates, confidence interval and any number of risk roll-ups up to global VAR.

Need to run historic scenarios on groups of curves, together or separately, parallel or non-parallel shifts, absolute or relative, by industry sector or liquidity ranking? It's all there, and the same stresses can be reused for market, credit, and collateral calculations.

Vector Risk calculates CVA, FVA and their sensitivities using full Monte Carlo simulation with risk neutral curve evolution. The sensitivities are calculated in the Monte Carlo by running extra scenarios to shift each risk factor up and down. This is a very intensive calculation but Vector Risk's HPC architecture and efficient algorithms make it possible. CVA DVA, bilateral CVA, FVA, FCA and FBA are all supported.

For credit you can see the effect of netting and collateral, track path dependent events such as option knock-outs, and apply correlations and stochastic processes appropriate to the evolution of different market rates.

Examine the sources of change in your mark to market from one day to the next. Show P&L due to maturing trades, new trades, market movements (broken down further by risk type), and theta.

High performance single pot margining calculations are available using Historical or Monte Carlo simulation. The ease of use of the Vector Risk solution means that exchanges can also be confident that their clients can utilise this technology to better manage their own risk.