Twenty five years of combined experience in the financial and the software industry via two senior cofounders. This is distributed among major financial software providers including Calypso Technologies, banks, hedge funds and consultancies.
Our 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.
Also, academics from all around the world have utilised our systems and provided valuable feedback.
SA-CCR is Basel Committee's new, improved proposed formulation for measuring exposure at default (EAD) for counterparty credit risk (CCR). The SA-CCR will replace both current non-internal models approaches, the Current Exposure Method (CEM) and the Standardised Method (SM). You can find an overview here. We have developed an implementation of this framework in R and you can browse through its documentation, view the full source code or just download it from R Studio (it appears on the package list as SACCR) .
Some of the features of the application:
An object-oriented, inheritance-based framework for the representation of the trades has been created. Currently, trade types of all the five major asset classes have been created and, given the inheritance-based structure of the application, the addition of further trade types is straightforward
The application automatically separates the trades on the corresponding hedging and netting sets.
All the examples appearing on the regulatory paper (including the margined and the un-margined workflow) have been implemented.
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.