Compute Engine
The Compute Engine contains the computational components of our ratings based model. The engine comes in several forms to handle different operating environments. The basic models and risk methods are the same in all versions. Some of the financial analytics within the Compute Engine include:
- Monte Carlo simulations generate correlated credit rating histories.
- Simulation of random recoveries on defaulted assets.
- Simulation of equity returns.
- Pricing modules for credit exposures.
- Conditional pricing algorithms for structured products.
- Pricing modules for Treasury and credit derivatives.
- Interest and FX rate simulation and pricing modules.
- Risk statistic calculations.
- Plus many others.
We continuously improve the breadth and accuracy of the compute engine through our research and development efforts.
The software has been employed by a wide range of financial institutions in a variety of divisions from Treasury risk, venture capital, derivatives and retail banking.