Credit Risk | Wolters Kluwer Financial Services OneSumX
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OneSumX Credit Risk

  • Our OneSumX Credit Risk solution provides single name and portfolio credit risk analysis by means of three components: current and future exposures, expected and unexpected credit loss based on stress and credit value-at-risk analysis, and credit value adjustments.

    Credit and counterparty risk – the risk of financial loss due to an unexpected deterioration of counterparty credit quality – has doubtless been brought into sharp focus over recent years, but it has also played a significant role in the majority of financial crises prior to this time.

    This on-going need to have accurate measurement of credit losses and efficient management of credit exposure is a foundation stone for firms; moreover, credit value adjustment became a key analysis element for defining the impact of credit and counterparty risk in value, liquidity and credit losses. It goes a step ahead beyond the default / non-default to the downgrading analysis. Such adjustments are based on the integration of future exposures, together with the risk-free market assumptions, credit spreads, and credit losses considering however the markets’ views against counterparty risk.

    The unfavorable dependency of the exposure with specific counterparties’ credit quality or general market risk factors, known as wrong way risk, plays also significant role in credit exposure and counterparty risk analysis. Therefore it is essential that they are equipped with a complete gamut of tools and techniques to achieve the above.

    Our OneSumX Credit Risk solution’s counterparty structure allows users to drill-down to individual exposures and counterparties of an organization. The full legal structure can be implemented with distinction between branches and legally independent subsidiaries. Subsidiaries can be consolidated based on the percentage ownership. Additionally, flexible analysis by country is available.

    Risk mitigation techniques

    • Close out netting
    • Guarantees and Collateral management including optimization, balancing and posting
    • Adjusted current and future exposures after risk mitigation

    Credit line analysis

    • Modeling of the expected or unexpected counterparty’s behavior in regards to the usage of the undrawn part of a credit line

    Financial product/Instrument coverage

    • All credit exposure calculations applied consistently for any type of financial product/instrument from deposits to exotic options
    • Specific instruments for credit risk include collateral, guarantees, credit lines, credit line opening, credit default swaps, total return swaps and credit spread options

    Integrated market and credit risk analysis

    • Scenarios for the potential exposure calculation can be taken directly from the market risk scenario simulation
    • Credit risk factors for credit VaR can be the same or form a subset of market risk factors
    • The integration of credit with market risk is inherently applied in the analysis of liquidity, concentration and systemic risks