The tools provided have been developed based on multiple years of working experience in the financial industry. This is distributed among major financial software providers including Calypso Technologies, banks, hedge funds and consultancies.
With the first R package being published in October 2015, the solutions have matured over the past years via feedback received from professionals working in:
Tier I Banks.
Big Three Credit Ratings Agencies.
Major Buy Side Institutions.
Big Four Consultancies.
Also, academics from all around the world have utilised our systems and provided valuable feedback.
Computes the Exposure-At-Default based on the standardized approach of CRR2 (SA-CCR). Apart from the standard version, the simplified version of SA-CCR has also been included, as well as the OEM methodology. Multiple trade types of all the five major asset classes are being supported including the 'Other' Exposure and, given the inheritance- based structure of the application, the addition of further trade types is straightforward. The application returns a list of trees per Counterparty and CSA after automatically separating the trades based on the Counterparty, the CSAs, the hedging sets, the netting sets and the risk factors. The basis and volatility transactions are also identified and treated in specific hedging sets whereby the corresponding penalty factors are applied. All the examples appearing on the regulatory papers (both for the margined and the un-margined workflow) have been implemented including the latest CRR2 developments. We have developed an implementation of this framework in R and you can browse through its documentation or download it from R Studio (it appears on the package list as SACCR) .
Some of the features of the application:
A tree-based structure is returned as a result which makes drilling into the underlying calculations and the contribution of each trade straightforward.
The application automatically separates the trades on the corresponding hedging and netting sets.
The algorithm caters for the case of multiple netting agreements per counterparty.
The basis and volatility transaction are identified and the relevant penalty factors are applied.
Multiple features described in the FAQs and technical standards have been implemented, including the adjustments needed for the negative interest rates cases.
All the examples appearing on the regulatory paper (including the margined and the un-margined workflow) have been implemented.
Below you can see a sample SA-CCR Calculator which is provided strictly for educational purposes. It supports only a single counterparty & netting set, please contact us for the full version.