Quaternion Risk Engine
The Quaternion Risk Engine (QRE) provides full portfolio pricing and contemporary credit/market risk analytics including efficient production of Value at Risk (VaR), Credit Valuation Adjustments (CVA) and Potential Future Exposure (PFE) profiles for large portfolios covering a wide range of vanilla and structured products spanning all asset classes. We can reconcile models used for trading with those used for regulatory purposes.
The Quaternion Risk Engine is based on an extended version of the open source library for quantitative finance, QuantLib (www.quantlib.org). This gives our clients the transparency and extensibility associated with open source integrated into a high performance, multi-core, fully functional risk engine.
For flexible and efficient aggregation, analysis and reporting on Quaternion Risk Engine’s results, we also integrate into Active Pivot, QuartetFS’ real-time in-memory analytics platform. Our partnership with QuartetFS aims at providing a comprehensive risk management solution that offers instant overview over and fully flexible, detailed insight into an organisation’s risk profile. If you want to learn more about the Quaternion Risk Engine, please contact us.
Analytics
Our Credit Risk Analytics provide
- Credit portfolio loss analysis using parametric and Monte Carlo credit VaR
- Potential Future Exposure Analysis
- Generic Credit, Debit and Funding Valuation Adjustment Calculation (CVA/DVA/FVA) with netting using our generic Monte Carlo approach
- Instrument-specific semi-analytical CVA/DVA calculation
- Quick scenario generation using both risk-neutral and real-world measures
- Parallel processing in multi-core and multi-CPU environments
Our full range of Market Risk Analytics cover various methodologies and risk measures including
- Parametric Value at Risk
- Historical Simulation Value at Risk
- Monte Carlo Value at Risk and Expected Tail Loss
- Scenario analysis and stress testing support
Our support for Liquidity Risk analysis covers cash flow projection under scenarios and calculation of key liquidity measures such as the Liquidity Coverage and Net Stable Funding Ratio. Cash flow simulations can take into account
- Evolution of funding cost and mix
- Asset default and changes in liquidity
- Exercise of termination options and break rights
- Exercise of options with cash and physical settlement
For instrument pricing, all analytics build upon QuantLib, the open-source library for quantitative finance, optimised for performance and extended by Quaternion to cover an additional range of structured products and efficient pricing methods.