Analyze your Risks with Scenario-Driven Insights
Credit decisions made today have far reaching effects on future profits, losses, cash flows, and business opportunities. Historically, decision makers have relied on limited data, manual process, and their “gut feel” to make these critical strategic decisions. ROME CreditAnalytics redefines Enterprise Credit Risk Management – delivering data-driven insights and improving strategic decision making.
ROME CreditAnalytics models Potential Future Exposure (PFE), Credit Value at Risk (CVaR), and provides a consistent framework to forecast, evaluate, and respond to future credit events.
PFE Engine
Risk Managers must know and understand their Potential Future Exposure (PFE) with confidence. The PFE Engine calculates potential future exposure within a given confidence level based on stressed market prices, associated deal valuations, and detailed contractual netting terms.
- Measure Maximum Exposure with a 95% confidence interval for a given counterparty for a user defined time period.
- Architected for high scalability.
- Handles multiple deal types including Forwards, Fixed Price, Index Priced, Swaps, Futures, Physical and Financial.
CVaR Engine
The science of credit risk management is continually evolving. ROME’s next-generation technology is designed to keep pace with leading credit risk management best practices and business requirements. The ROME CVaR Engine measures potential credit risk due to potential changes in counterparty creditworthiness.
- Combine recovery rates, cumulative default probabilities by credit rating, historical returns for industry sectors, and PFE for your entire portfolio into one meaningful statistic.
- Analyze trends in your portfolio’s CVaR
- Evaluate a specific counterparty’s contribution to your overall CVaR
- Calculate accurate and dynamic credit reserve requirements
Statistical Stress Testing
A counterparty is downgraded to BBB– and the price of gas doubles. How does this affect your Exposure? ROME’s advanced what-if scenario functionality provides quick answers to these challenging questions.
- Run standard uniform scenarios like the S&P liquidity adequacy test or create customized scenarios based on economic downturns, adverse market events, or liquidity shocks that might impact your exposure.
- Run standard uniform scenarios like the S&P liquidity adequacy test
- Create customized scenarios with the user-friendly scenario interface
Advanced Walkforwards
ROME CreditAnalytics provides visual walkforward based on full forward valuation across scenarios and time to maturity, providing a consistent measurement framework for the entire trading book.
- Dynamic graphical display provides ability to drill-down to specific counterparty and deal
- View comparative displays
- Analyze difference graphs
Credit Risk Dashboard
ROME’s web-based Credit Risk Dashboard provides real-time insight into your most critical credit risk issues.
- Monitor counterparty limits and availability
- Identify Top Ten based on customized scenarios
- Customize content and layout to meet your unique requirements
Find out more about how ROME may benefit your organization.
Contact us at info@romecorp.com. |
