Delta Suite

Counterparty Credit Risk

The Delta Suite provides a powerful framework for measuring and managing Counterparty Credit Risks (CCR) in a fully bank-specific way.

Specific activities enabled by the Delta Suite include:

Calculation of state-of-the-art exposure profile measures (EPE, Effective EPE, Peak exposure, etc.)
Easy definition of collateral, netting and other mitigation techniques
Computation of portfolio counterparty credit risk measures
Integration of Counterparty Credit Risks in pricing methods

The key advantages of our solution for the measurement and management of counterparty risks are:

Extraordinarily high performance, thanks to the end-to-end application of Grid-Computing and associated methods (Threaded Monte-Carlo, Grid MC)
Easy definition of all kinds of counterparty exposure structures thanks to Delta Hedge’s fully visual building-block approach
Easy visual definition of settlement and other contract specifics (rules) via a “workflow approach”
Full and easy consideration of fees, other transaction costs, and business rules
Integrated & efficient limit management

Learn more about our approach to CCR in our Counterparty Credit Risk Whitepaper.