This engine is used in various contexts: pure Var/ES calculation but also capital measures (FRTB IMA, CVA IMM), IM calculations (Cleared OTCs with specificities per CCP), SIMM back testing, Beta sensitivities.

• Historical or Monte-Carlo
• Scenario generation from historical market data or shock flat files
• Volatility Scaling
• Many options are available for fine-tuning and to fit CCP methodologies
• P&Ls can be calculated as PV differences or as a first order risk explanation
• Monte-Carlo VaR: Implementation with fat tails (t-Student distribution) available

• 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

• 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

• 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