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Risk Component Integration - Risk System Integration by PPG
Download the full presentation PDF of the overview of client solutions.
Approach
PPG approaches risk component integration with solutions centered on the recent and growing credit integration of traditional credit monitoring with regulatory drivers in capital management, credit charging and alignment of front-office trading prices.
The goal in addressing the market as a whole, and capitalising on the convergence trend, is to ensure that any risk solution can meet the stringent front-office pricing requirements for risk assessment, and is flexible enough to deal with the workflow required between a centralised risk function and reporting for RegCap, E/C, and CVA.
Solutions
PPG utilises calculation frameworks for a simulation-based risk for calculating PFEs, EPEs, and MTM profiles, all of which can in turn be used for RegCap, E/C, CVA, and hedging purposes. Necessary features that are explored lie in model accuracy, instrument reconciliation, portfolio management and attribution, and trader workflow modules necessary for managing and performing portfolio reviews.
Please see our blog entry for more details….