SWAP+ is developed for measuring, analyzing and managing counterparty credit risk of mainly derivatives portfolios of financial institutions.

Credit exposure of a long-term transaction always arises when the institution itself is in a profitable mark-to-market 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 risk of default of the counterparty.

SWAP+ 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.

The software uses the path-dependent Monte-Carlo simulation technique in order to simulate the future values of each individual contract. 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 SWAP+ system includes an optional pricing module, which evaluates the customer specific mark-ups and mark-downs of individual transactions with alternative counterparties, due to existing portfolios and netting structures.

Depending on the client's need, the VAR+ and SWAP+ 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 SWAP+ and VAR+ systems are available and supported in the R/V Platform.

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