• Product Overview
  • Base Architecture Module
  • Credit Risk Module
  • Market Risk Module
  • Limit Management Module
  • Economic Capital Module
  • Reporting Module
  • Razor Technology
• Solutions
  • Credit, Market & Liquidity Risk
  • Credit & Market Risk
  • CCP Risk Management
  • Limit Management
  • Stress and Scenario Testing
  • Capital Management
  • Margin Management
  • Risk Aggregation
  • Portfolio Replication Solution
  • Incremental Risk Charge
  • Basel II
  • CPSS-IOSCO
  • CVA Solution
  • Solvency II
• Why Choose Razor

Razor supports a flexible and extensive netting agreement framework which is used to capture and stored any attributes of legal agreements required for the calculation of counterparty credit risk. Examples attributes include, start and end dates, the counterparty organization tree (which entities within the counterparty hierarchy are eligible), Business Unit (which internal organizations units are eligible) and product types covered by the agreement.

As an overview, Razor will apply close-out netting in the following steps:

• Razor supports the calculation and reporting of exposure at any aggregation level (these level are user configurable and known as a portfolio within Razor). Razor via its configurable mapping rules will identify and map all relevant transactions to the defined portfolio.
• Razor's exposure calculation revalues each transaction for each scenario
• Once the revaluation has been completed, Razor will identify all transactions eligible for close-out netting and applies any economic off-setting before aggregating the results into the relevant portfolios and measuring the results against relevant Limits

Razor also supports the CSA definition of a collateral agreement, including all key attributes of the collateral agreement in addition to the attributes for a netting agreement including:

• Agreement Threshold
• Minimum Transfer Amount (MTA)

Close-out period (to take into account the exposure drift, where the collateral is not lodged by the counterparty and before the close-out agreement is triggered).

The presence of a collateral agreement limits the net exposure for the deals covered by the agreement to be the minimum of the exposure and the CSA threshold amount + MTA. The collateralized exposure is calculated at the same time as the overall counterparty credit exposure.

User-defined confidence intervals can be applied in the same manner as calculating the overall credit exposure. User-defined, variable time steps are fully supported. A close-out period can be specified as an overall system parameter or as an attribute of the Collateral Agreement

Razor provides extensive product coverage, including the ability to model the value of the collateral that has already been posted.

Razor fully supports Risk Transfer instruments such as Credit Derivatives, Give Up Agreements, Guarantees and CDOs.

Razor through its configurable portfolio mapping rules and configurable portfolio templates enables any limit structure to be established.

The steps needed to configure your limit structure would include:-

• Specify the list of portfolios required
• Specify the business rules for grouping of trades to each portfolio
• Specify the exposure calculation required for each portfolio
• Specify portfolio templates and pre-default limits and attributes to be applied
• Configure the Razor portfolio mapping rules to support the above requirements.

The Limit structure is fully configurable e.g. you can set revolving limits or terminating limits. End users can also configure such features as limit spike or warning thresholds (tolerance triggers). Also a counterparty hierarchy can have limits monitored in various currencies e.g. a parent portfolio can be calculated in a different currency to a subsidiary and you can apply a start and expiry date to a limit.

A Razor portfolio can be easily established and is identified by the portfolio keys which indicate the limit category e.g. Obligor and exposure methodology e.g. simulated credit exposures. For each portfolio a limit structure can be applied for exposure management.

All limit information may be imported from an external system, or defined and maintained from the Razor screens. There are no exceptions/ product limitations with the level of granularity supported.

The Razor Limits Management module provides comprehensive limit and excess management functionality as required from an Enterprise-wide limit management solution. This functionality includes:

• Broad set of limit functionality: pre-settlement limits, settlement limits, limits in reduction, multi-currency, spike limits, revolving or non-revolving limits, warning thresholds and flexible tenors.
• Diverse set of limit types: Razor enables limits and exposure to be measured at any aggregation level including by Counterparty, Industry, Region, Country, Product Type, Internal business unit, etc.
• Counterparty Management. Definition and maintenance of counterparty information. Full support for flexible counterparty hierarchies and multiple parents.
• Excess Management. Comprehensive excess management functionality to ensure that appropriate action is taken in the event of limits going into excess.

Limits can be applied within Razor to any portfolio or calculation result, thus enabling a full range of enterprise counterparty limit structures and limit types.

To support the management of Limits within Razor there is a workflow that makes it possible to determine, approve and manage limits and there is a mechanism for approving excesses to the limits as well.

Razor supports the ability to maintain hierarchies and the concept of multiple parents within any legal framework with unlimited hierarchical levels. The relationship between entities, industries, country, ratings and any other defined data hierarchy is also fully configurable, which enables any risk 'bucket' and exposure rollups to have limits applied.

The Razor application provides a comprehensive limit violation/excess reporting system which supports the following features:

• Online violation detection and alerting system
• The alerting system permits the routing of messages to the appropriate users based on the severity of the excess, the details of the trade and associated static data.
• The alerts can be sent to the Razor client screens
• They can be mapped to email, pagers, SMS messages etc…
• All violations are logged and can be reported as required.
• The system raises excess events for each portfolio that is breached. The alert retains the details of the event including the type of violation e.g. New Trade, Amended Limit etc. and the details of the records causing the violation, e.g. The full trade details of processed trades etc..

The excess events are passed into an event handling script that permits the bank to specify the routing of alert messages to users as required. The system supports the following violation categories:

• Inserted trade(s)
• Amended trade(s)
• Deleted trade(s) - where the existing trade reduces exposure under a netting agreement.
• A batch that reflects changes in market rates will cause an excess violation
• Any time bands exceeded are reported
• Dealing in unauthorized products
• Deal maturity exceeding a maximum tenor
• Other violation types.

The users are notified of violations online using the alerts system.

Razor can be configured to provide required 'work-flow' escalations in real-time to support your policies. Razor enables users to view all portfolios in excess and then link excess events which capture the details of the limit excess. Within the excess events, users are able to view the trigger history and comment upon it. Risk managers with relevant security rights have full access to this excess information. They can review full details of all excess events and if needed take the excess through an approval cycle.

For further information, please contact us.