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Adaptiv Credit Risk

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Data Analytics

Predictive analytics driven from risk data, customer behaviour, clustering, etc.
Jean-Marc Schwob about 6 years ago in Adaptiv Credit Risk 0

News Feeds

Incorporate a counterparty news feed – including external news, ratings alerts, internally posted alerts, etc. (possible partnership with external vendor of such a service)
Jean-Marc Schwob about 6 years ago in Adaptiv Credit Risk / Static Data / User Interface 0

Parameterised MTM + Add-On Measure

Configure a fully flexible MTM + Add-on measure, with all elements of the calculation fully parameterised (=user-controlled via GUI)
Jean-Marc Schwob over 4 years ago in Adaptiv Credit Risk / Portfolio Measures 0

CCP Default Fund Exposure

Calculate CCP Default Fund exposure per regulations
Jean-Marc Schwob over 4 years ago in Adaptiv Credit Risk / Portfolio Measures 0

'Agreement' Customer Cube Dimension

A common customisation is to have a ‘(Netting) Agreement’ dimension on the Customer Cube portfolio, possibly replacing the existing ‘Counterparty’ dimension which is never used. This would be a good candidate for base inclusion. Indeed, the nettin...
Jean-Marc Schwob over 4 years ago in Adaptiv Credit Risk / Portfolio Measures 0 Planned

Give-Up Agreements

(This work may be required to bring native ACR in line with the proposed Netting Microservice) Support for transactions that are done with counterparties that are 'given-up' to a Prime Broker. This would involve the following (at a high level, sub...
Jean-Marc Schwob over 4 years ago in Adaptiv Credit Risk / Legal Agreements & Collateral 0

ISDA Bridge Agreements

(This work may be required to bring native ACR in line with the proposed Netting Microservice) Support for ISDA Bridge Agreements: Allow agreements to be flagged as "ISDA Bridge". Within Legal Opinion property sheet, configure a list of "Products ...
Jean-Marc Schwob over 4 years ago in Adaptiv Credit Risk / Legal Agreements & Collateral 0

Collateral Items represented as Deals

It has been suggested that collateral items (currently captured as a list attribute against Collateral Agreements) should be represented as Deal objects that generate their own exposure (positive or negative). Here is a quick brainstorming of the ...
Jean-Marc Schwob over 4 years ago in Adaptiv Credit Risk / Dealing & Pre-Deal Checks / Legal Agreements & Collateral 0

RWA Measure

It has often been suggested that ACR should feature a 'RWA' measure. This could be implemented rather simply by taking the existing RCC measure and not applying the ROE and Capital Ratio parameters. A more comprehensive approach would be to extend...
Jean-Marc Schwob about 6 years ago in Adaptiv Credit Risk / Portfolio Measures 0