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Portfolio Measures

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Failed Settlements

When a counterparty fails to settle a trade, this needs to generate exposure beyond the maturity of the deal. Here are some ideas on how this could be handled in ACR: A new 'Failed Settlement' product could be configured, generating notional expos...
Jean-Marc Schwob about 4 years ago in Adaptiv Credit Risk / Portfolio Measures 0

Large Exposures

Large Exposure regulations require banks to consolidate all their credit exposures to groups of related entities, and report/control these against limits expressed as a percentage of their Tier 1 Capital. ACR would be an ideal solution to calculat...
Jean-Marc Schwob over 4 years ago in Adaptiv Credit Risk / Limits / Portfolio Measures 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

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