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.
- 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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