ACES+

ACES+ is developed for measuring, analyzing and managing counterparty credit risk of both conventional and derivatives credit risk portfolios of financial institutions.

Credit exposure of a long-term transaction always arises when the institution itself is in a mark-to-market profit position while the counterparty faces a mark-to-market loss. Credit exposure, on the other hand, transforms into credit risk, the magnitude of which depends on the credit worthiness (i.e. rating), and on changes in the latter (rating migration). A credit event is related with the risk of default of the counterparty.

ACES+ can separately distinguish between contracts, counterparties and guarantors and the associated risks caused by each such entity. Also, various most complex netting structures can be taken into account in detail, facilitating analysis of complex credit risk portfolios.

ACES+ can address issues of credit mitigation techniques, such as collateral, guarantees, credit derivatives, netting and recoveries in an advanced and sophisticated manner.

The software uses the path-dependent Monte-Carlo simulation technique in order to simulate the future values of each individual contract and any credit mitigation techniques related with it. In each simulation step, the full distribution of both pure market risk and credit risk for each entity (whereby different netting rules have been taken into account) is determined. Finally, the development of different risk profiles of each entity over time can be observed.

The ACES+ system includes an optional pricing module, which evaluates the customer specific mark-ups and mark-downs of individual credit transactions with alternative counterparties, due to existing portfolios, netting structures and differences in qualitative characteristics of counterparties.

Depending on the client's need, the DATA+, VAR+ and ACES+ applications or elements thereof can be combined and/or complemented to form a comprehensive risk management system. Alternatively, parts thereof can also be used to support either in-house developed risk management systems or other systems available in the market.

All functions and reports of ACES+, DATA+ and VAR+ systems are available and supported in the R/V Platform.

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