FinTech: Credit Risk Rating

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Objective: Customer is a Market data provider, wanted a Data-as-a-Service platform with capabilities of risk reporting, portfolio optimization and compliance based on Trade data and Market data for their customers.

FinTech: Credit Risk Rating
Cenacle FinTech solutions offer wide array of capabilities suited for interactive data analysis, risk reporting, portfolio optimization, and business decision making.

Methodology:

  • A real-time ingestion data analytics pipeline built to track EOD market data.
  • An upload ETL system built to ingest customers’ trade data in batch mode with distributed job Queues.
  • Cashflow reports built with NPV Cubes, and Exposure measures with xVA reports.
  • API built for Efficient Frontier, Option Pricing, Portfolio optimization, Volatility Surface, Value-at-Risk with Greeks and Credit Risk Exposure calculations.

Result: A B2B DaaS platform with comprehensive Risk Analytics, interactive visualization and developer API

Key Features: Batch and real-time analytics, Compliance reports such as SA-CCR, FRTB and

  • Advanced functionalities such as,
    • Portfolio pricing
    • Cashflow generation
    • Sensitivity analysis (Market Risk Measures)
      • Value at Risk based on Deltas, Vegas, Gammas and cross-gammas
      • Can be used to benchmark initial margin models
    • Stress testing
    • Derivative portfolio analytics
    • Credit exposure measures
      • EE aka EPE (Expected Exposure or Expected Positive Exposure)
      • ENE (Expected Negative Exposure, i.e. the counterparty’s perspective)
      • ’Basel’ exposure measures relevant for regulatory capital charges under internal model methods
      • PFE (Potential Future Exposure at some user defined quantile)
    • Derivative Value adjustments
      • CVA (Credit Value Adjustment)
      • DVA (Debit Value Adjustment)
      • FVA (Funding Value Adjustment)
      • COLVA (Collateral Value Adjustment)
      • MVA (Margin Value Adjustment)

Contact us to know more about how Cenacle can help you build advanced Credit Risk Engines for your Financial Data and how you can leverage Blockchain to bring transparency and auditability for your transactions.