Algorithmica Research Unveils Arms CCR

Algorithmica Research AB has launched the Arms CCR module.

Algorithmica Research AB has launched the Arms CCR module. The simulation-based counterparty credit risk application is designed to address the dual business requirements of running global enterprise-wide consolidation and intraday pre-deal limit checks. It also supports market standard netting agreements and simulation of collateral.

The model merges user-defined macro views with automated market implied calibrations. Other features include multi-asset simulation methodology for risk-neutral or real-world simulation and risk factors evolved using a semi-parametric model that captures statistical properties of financial time-series, such as volatility clustering.

Click here for the release from Algorithmica Research AB.