CreditWizVar

This product is designed to compute "Value at Risk" (VaR) by combining both market and credit risks. This software is designed to meet the requirements of securities dealers, bank treasuries, mutual funds and all players in the securities market. We customize the software to download the market rate feeds for risk-free paper from data providers such as Reuters, BridgeTelerate or Bloomberg, generate the RF curve and calculate the VaR at one or five percent tolerance levels. Controls can be installed to ensure that capital adequacy norms are not breached.

A unique feature of the software is that it can also generate credit ratings for unrated counterparties. It can compute VaR at one and five percent levels for an unrated corporate bond after generating a rating for the security. In effect this means that the software provides you VaR figures for both market and credit risks. The ability to generate credit ratings has some other spin-off benefits. It gives the user the capability to assess counter-party risk and compute loss estimates for forward contracts booked at the behest of a business house. Thus, the software can provide the user with an aggregate Value at Risk figure for:

  1. Treasury bills and bonds,
  2. Other assets that carry market risk, and
  3. Corporate bonds and other investments that carry both credit and market risk.

 

Provides Valuable Inputs

Assists Decision Making

Utilizes Market Inputs