BASEL IV SUPPORT
Torstone Risk supports Basel IV requirements for counterparty credit risk management associated with OTC and exchange-traded derivatives. Similar to the FRTB Standardised Approach requirement for market risk, enhanced credit risk sensitivity is provided in a revised credit valuation adjustment (CVA) calculation.
CREDIT RISK AGGREGATION
Credit risk can be aggregated at both the transaction level and netting set level with no limit on the number of transactions, measures, and dimensions you can process. With Cloud Analytics, you can use Torstone’s risk pricing model libraries to augment existing credit measures for aggregation.
OUR CREDIT RISK SOLUTION AT-A-GLANCE
- Transaction / Netting Set Level Risk Aggregation
- Standardised Approach to Credit Valuation Adjustment (SA-CVA)
- Standardised Approach to Counterparty Credit Risk (SA-CCR)