Vector Risk Cloud

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Overview

Vector Risk are the developers of the Vector Risk Ultra High Performance Credit and Market Risk Solution for banks, financial services organisations, hedge funds and corporates.

Starting life as an enterprise risk engine and limits management system for tier one banks under the BoundaryRider brand (major customers include National Australia Bank (NAB)), the Vector Risk engine, workflow server and client GUI is now available as a SaaS cloud offering, and is used by all manner of institutions, including corporates. We believe that our cloud solution is as easy to use as a portfolio level market and credit risk exposure engine and workflow system for OTC derivatives can be, allowing smaller or less sophisticated banks, hedge funds and corporates to report on and manage correctly modelled VaR, Expected Shortfall, Stress Testing, Hedge Effectiveness, VaR Margining, PFE, EPE, CVA, DVA and FVA.

We have incorporated automated rates feeds from the key OTC market data vendors, and developed a range of tools that afford easy trade load and management. Our engine and models are consistent across calculations, asset classes, including multi-curve pricing, OIS discounting and CSA handling.

Key Features

Full range of quantative analytics and risk measures:

• Valuations

• Cashflow Reporting

• VaR (Value-at-Risk)

• Stress Testing (Comprehensive framework for user-defined stress tests)

• ES (Expected Shortfall)

• VaR-based Margining models (Non-centrally Cleared Trades)

• PFE (Potential Future Exposure)

• EPE (Expected Positive Exposure)

• CVA & DVA (Credit/Debt Valuation Adjustment)

• FVA (Funding Valuation Adjustment)

• Hedge Effectiveness

•Credit Exposure Stress and Sensitivities (CVA, FVA sensitivities, etc.)

•CVA  VaR

The Vector Risk Cloud functionality is delivered in a consistent framework across all calculation types:

• Common trade data and product definitions

• Common valuation and curve evolution methods

• Common framework for modelling assumptions, reference data, workflow and GUI

• Common, powerful curve management infrastructure including proxies, reference curves, overrides, and driver curves

• Common comprehensive stress testing framework

• Integrated EOD market data from vendors such as Tullett Prebon, ICAP, GFI and S&P

• Consistent and comprehensive drilldown features

• Multi-curve pricing (single and cross-currency basis curves)

• Dynamical CSA modelling

• Automated use of OIS discounting curve sets for CSA counterparties

• Sophisticated Wrong Way Risk modelling with dynamical, correlated survival curve modelling

Ask about our world leading end-to-end vectorization that gives our code, and potentially yours, a massive two orders of magnitude boost over just about any other risk analytics system on the market.

Key Benefits

The Vector Risk cloud delivery mechanism makes the total cost of ownership extremely reasonable, making industrial strength risk analytics accessible to all manner of organizations. Whether it be VaR or Expected Shortfall for Market Risk management, Potential Future Exposure, or CVA/DVA/FVA, or any other established or modern risk measure, our solution is the mechanism whereby your organization can meet its regulatory or risk management requirements in the shortest possible timeframe.

Product/Service details

User Suitability (Capital Markets & Investment)
Asset Managers, Trading firms
Geographic Availability
Africa, Asia-Pacific, Europe, Middle East, North America, South America
Asset Class Coverage
Bonds, Commodities & Energy, Equities, Foreign Exchange (FX), Funds, Futures, Options and other Derivatives, Money Markets, Structured Products