Clarus Excel Products

SIMM

SIMM Initial Margin and what-if analysis.

FRTB

Fundamental Review of the Trading Book.

SA-CCR

Standardised approach for Counterparty Credit Risk.

Latest Posts

  • Nov, 8

    Bank Ring Fencing – What You Need to Know

    Ring-fencing splits banks into deposit-taking institutions and investment banks. There is more than one way that this can be achieved. The European Commission has decided against ring-fencing. Large UK banks are required to ring-fence their deposit-taking operations from January 2019. The US may include some ring-fencing proposals as they look at financial reforms. Why Do […]

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    Oct, 18

    SA-CCR Calculator

    SA-CCR for Excel calculates the Standardised Approach for Credit Risk Use it to reconcile your calculations Or assess the impact of moving to SA-CCR And perform pre-trade what-if analysis Free 14-day trials are available for all financial firms. Background In March 2014, the Basel Committee on Banking Supervision published bcbs279, the Standardised Approach for measuring Counterparty […]

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  • Sep, 20

    Margin for Non-Cleared Derivatives

    Uncleared Margin Rules (UMR) for IM have now been in force for one year The ISDA Margin Survey 2017 provides a snapshot of IM delivered and received $47.2 billion and $46.6 billion respectively, between Phase One firms (March 31, 2017) I look at how the figures compare to an $800 billion estimate from 2012 What […]

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    Sep, 12

    ISDA SIMM 2.0 – What You Need to Know

    ISDA SIMM version 2.0 is coming in December 2017. Re-calibration and new risk factors will mean Initial Margin changes for all portfolios. SIMM for Excel gives you the tools to understand and model these changes. Quickly compare before/after SIMM levels in Excel. Drill-down into Counterparty and Risk Factor levels. Perform your own analysis and optimisation […]

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  • Sep, 5

    VM Big Bang – Impact on FX Markets

    The six month reprieve from UMRs expired 1st September. We look at trading in uncleared markets in the past six months to see if anything changed. The number of uncleared IRS trades has shrunk by 50% as the regulations took hold. Products with no cleared alternatives continue to trade bilaterally. Volumes have continued to be […]

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    Aug, 30

    FRTB Non-Modellable Risk Factor Analysis

    The FRTB Internal Model Approach requires risk factors to be checked for modellability Non-modellable risk factors are then subject to stressed capital add-ons Modellable and non-modellable is determined by applying a specific test Clarus has the Data and Analytics to perform such a test We make this available in our FRTB for Excel product Making […]

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  • Aug, 16

    Capital and RWA for European Banks

    Following on from my recent Capital Ratios and Risk Weighted Assets for Tier 1 US Banks article I wanted to look at the equivalent metrics from European Banks. Background One of the lessons learned from the Great Financial Crisis was that Banks were generally under capitalised commensurate to their risk exposure, leading to new Basel III regulations […]

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    Aug, 9

    Array Formulas in Excel

    We explain how to work with Array Formulas in Excel. Master the Three Finger Salute CTRL+SHIFT+ENTER. CTRL+/ is an amazingly effective shortcut. It is always easier to expand an array than shrink it. Consistent formatting provides an obvious visual cue when working with arrays. SIMM for Excel SIMM for Excel is an add-in that performs […]

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