SunGard Trading and Risk Systems has introduced new patent-pending real-time analytics to its Credient risk management suite.
David Rowe, executive vice president of risk at SunGard, says: "Credient MC2 offers, for the first time, a commercially viable means of supplying traders with sophisticated marginal credit exposure and marginal credit cost estimates in a matter of seconds."
The new methodology is based on the credit risk analytics offered by Credient, and approximates Monte Carlo simulation to produce a fully detailed profile of credit exposure in real-time. Credient MC2 uses closed-form valuation functions to enhance speed, while a proprietary patent-awarded methodology, comprising optimised algebra and parallel processing, offers improved accuracy.
Nick Lea, head of Credient analytics, explains: "A Monte Carlo run for a portfolio larger than 1000 deals can easily take longer than an hour because values are calculated at every time horizon, under multiple market scenarios. Credient MC2 also calculates credit exposure at all the salient points in the life of a portfolio, but is able to do so in real-time because of the proprietary algorithms used."