R/V Platform - Applications

The following applications are available on the system:

  • Extended Basel II and II+ Internal Models type one step market risk analysis.
  • Extended continuous-time general market risk analysis including one time-step and path simulation analytics for any time horizons.
  • Extended credit risk analysis with market and counterparty credit risk variables being simulated as continuous time paths, and with netting and credit risk mitigation enabled. The system supports Basel II, Basel II+ and Basel III Advanced Approaches for credit risk capital requirement calculations.
  • Simulation based operational risk analysis. The system supports Basel II Internal Measurement approaches.
  • Simulation based stress testing for financial institutions, insurance institutions and banc-assurance groups.
  • Economic capital analysis with market risk, credit risk, operational risk and, where relevant, underwriting risk simultaneously included.
  • Cash flow simulation based Enterprise Wide Risk, valuation and ALM analysis for strategic planning, M & A, investment and Value Based Management applications.
  • Cash flow analysis and NPV simulation based approach for advanced probability of default and rating migration forecasting and analysis.
  • Alpha testing of counterparty credit risk trading book derivatives positions.
  • Cash flow simulation based rating outlook analysis.
  • Cost at Risk analysis of government financing policies.
  • IFRS 36 risk-adjusted discount rates for impairment testing.
  • IFRS 39 validity testing for hedge accounting.

The R/V Platform can and is continuously extended in different and advanced application areas. These extensions are implemented either in customer-driven projects or in the on-going CDFT in-house development work.

For all our products, full demonstrations along with case studies are available on an individually tailored basis.