Counterparty risk, is the risk that a party to an OTC derivatives contract may fail to meet its contractual obligations, causing losses to the other party. Losses are usually quantified in terms of the replacement value of the defaulted derivatives. OTC derivatives and counterparty risks are focal points for market participants, policy-makers, regulators, accountants, tax authorities and many others. EM Risk Credit Risk consultants have helped many of the world’s leading organisations reduce costs and improve returns by accurately calculating and monitoring their Potential Future Exposure (PFE). We can also help you reduce risk implementation costs with enhanced reporting tools and methodologies for informed decision-making.

Our in-house management, technologists and quantitative teams have significant experience in the following areas:

• Stochastic model validation (model calibration, derivative pricing and market data)
• Model verification (substantiation of quantitative results)
• Business analysis and functional requirements (specific to Risk System architecture)
• Programme leadership and lifecycle management (specific to Risk System architecture)

In addition to our significant experience in this area we offer:

• A customised approach to delivering system upgrades and the migration of exposure measurement calculation engines
• Our delivery methodology is transparent and based on financial benefits avoiding the black box approach often associated with complex projects such as Monte Carlo implementations
• We have built a testing framework, utilising model prototypes to support the validation of implemented methodology and complex functionality based around an intermediate results interface