CRZ Pricing - Management software for interest rate, FX, credit, inflation, equity and commodity portfolios for all types of financial instruments: vanillas and exotics, derivatives and structured products

Reportings - P&L explanation - Sensitivities calculation - Stress scenarii - VaR - CVA - XVA - Initial margin - Accounting standards - Super fast risk calculation - SIMM marginal allocation - XVA marginal allocation

Comprehensive portfolio views

Valuations

Full risks (tenor based)
Risk explained P&L, with second order P&L explanation through re-computation of the risks at end of day
Realized P&L with curve-by-curve granularity (second order cross effects are also captured)

Past and future payment reports, options and fixings expiry reports

Capital : Basel 2.5 & FRTB
Most Basel 2.5 measures (VaR, sVaR, IRC, CEM, SA-CCR, CCR-IMM, CVA-SA, CVA-IMM)
All FRTB SA measures (SBM, DRC, RRAO, SA-CVA, BA-CVA)
All FRTB IMA measures (ES, DRC, CVA) where non modellable risk factors are configurable
P&L attribution
View aggregated measure and « deal-by-deal » components (PV, risk weight, ...)
A capital dashboard allows the aggregation of all the capital measures

XVA
All XVA measures (CVA, DVA, FVA, MVA, KVA) as well as exposures (EE, NEE, PFE, ...)
FVA is fully configurable as there is currently no market consensus
Full XVA risks (tenor based) are available for efficient dynamic hedging
Incremental impacts of deals can be calculated without re-computing the whole netting set
Marginal allocation up to deal level allows you to instantly view the main contributors to any measure
Wrong-way risk is supported
Exotic CSA features such as one-way, non zero thresholds, minimum transfer amounts are supported

Initial Margin
Licensed vendor of ISDA SIMMTM for bilateral initial margin
Versioning is included and underlying risks are converted in CRIF format. CRIF results are displayed together with the aggregated SIMM measure.
Marginal impact of risks allowing initial margin optimisation
Historical VaR / ES for cleared OTCs
SPAN for listed products
CCP basis spreads (such as CME vs LCH) are taken into account

Flexible portfolio views

Portfolio definition : all types of filtering through the interface

Results are displayed in customizable pivot tables, allowing for example to break down a result by product, currency or sub-portfolio

Modular stress scenarios : impact on prices, risks and future payments

CRZ Pricer, an innovative solution designed to :

Manage the most complex financial instruments in real time

Offer a comprehensive range of customizable features

Optimize your portfolios management in a challenging environment

Combine innovation, accuracy, integrity and performance

Automate recurrent processes

Reduce systemic risks as well as administrative costs

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