About
Vector Risk Pty Ltd is a Sydney-based market and credit risk management solution provider. Our solution is cloud-based and is a full SaaS solution. The application offers a High Performance Computing risk engine for historic simulation and Monte Carlo simulation using real world and/or risk neutral stochastic processes to model such measures as VaR, CVA and PFE. We specialise in regulatory solutions for counterparty credit risk such as SA-CCR and market risk such as both the Standard and Internal models for FRTB.
Chatswood, New South Wales
Applications (3)

ISDA SIMM Solution
Calculating Sensitivities and Initial Margin under ISDA SIMM.

Trading Book Market & Credit Risk Solution
Full end of day and real time solution for market and credit risk, including VaR, PFE, xVA and complete FRTB.

XVA Summit Add-In
The XVA App uses SPI to connect with Summit to deliver pre-deal XVA. Metrics include CVA, Bilateral CVA, DVA & FVA.