overview

 

 

 

Advanced Capital Analytics for Decision Support & Regulatory Reporting

Numerix Oneview for Capital helps firms manage and optimize capital use across different OTC trading desks or lines of business.

With comprehensive support for counterparty credit risk capital (SA-CCR) and CVA risk capital (SA-CVA) measures, Oneview provides both pre- and post-trade capital analytics to help front offices make capital-informed trading decisions and to assist compliance teams in meeting regulatory reporting requirements.

capabilities

Comprehensive Analytics

 

  • SA-CCR and SA-CVA capital analytics available pre-trade for front office decision support and post-trade for regulatory reporting purposes
  • Aggregated capital calculations by counterparty, plus intermediate values (e.g. exposure at default (EAD), risk-weighted assets (RWA), risk weights, capital add-ons) and CVA sensitivities
  • Capital Valuation Adjustment (KVA) analytics also available, so firms can see capital costs of trades and understand all-in trade profitability

Advanced Capital Analytics

 

  • “Capital explain” identifies which risk factors and trades are driving capital numbers
  • Back-allocate capital to specific trades, to see the “capital cost” of trades, strategies, desks or portfolios
  • Pre-deal capital checks help traders understand incremental capital impact and KVA of proposed trades before transacting them
  • “What if” sandbox enables traders to compare capital costs of trades if executed with different counterparties
  • Rich visualization and drill-down functionality, for real-time views of capital measures at different levels of book/counterparty hierarchies and to drill down to individual books or trades contributing to measures

Performance & Flexibility

 

  • Optimized for performance and capable of providing compute-intensive calculations on-demand to aid in front office decision support
  • Utilizes advanced algorithms (e.g. algorithmic differentiation (AD) for CVA sensitivities) and scalable server architecture to benefit from performance, scalability and elasticity of public or private clouds
  • Flexible scenario engine enables users to modify how CVA sensitivities are calculated for SA-CVA calculations, so firms can adapt quickly if regulations change
  • Configuration screens allow users to modify risk weights, correlations, and other inputs involved in capital calculations, so firms can see how regulatory changes may impact them

Holistic Front-to-Risk Views

 

  • Capital calculations complement valuations, XVAs, margin, market risk, scenarios, counterparty exposures, and other analytics from Oneview, for holistic views of the derivatives business
  • All asset classes and product types are covered, from vanillas to complex exotics, with a comprehensive library of models and numerical methods
  • Large portfolios of hundreds of thousands of trades can be handled, so the entire business across all desks and lines of business can be managed using Oneview
Benefits & Features
  • Make More Informed Trading Decisions
    With pre-trade capital analytics alongside other business-critical measures, Oneview helps the front office make profitable trades, actively optimize capital and margin use, and stay within prescribed limits.

  • Optimize Capital Use
    Understand capital drivers and capital consumption by different desks or lines of business so capital can be deployed as efficiently and profitably as possible.

  • Comply with Regulatory Capital Requirements
    SA-CCR and SA-CVA numbers are generated from a market-proven, flexible analytics system, to give you confidence in your regulatory reporting now and in the future if/when regulations change.

  • See the Complete Picture
    Oneview provides a multi-dimensional view of capital, valuations, XVAs, risk and margin, so firms can get a complete view of their derivatives business.
Additional Resources
Product Collateral
Numerix Oneview For Margin | Fact Sheet
Product Collateral
Numerix Oneview For Valuation | Fact Sheet
Product Collateral
Numerix Oneview For XVA | Fact Sheet
Product Collateral
Numerix Oneview | Fact Sheet

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