Vector Risk Pty Ltd

Vector Risk provides a multi-tenancy SaaS solution for SIMM. As a SaaS solution, Vector Risk dramatically reduces implementation timeframes, has little project risk, requires no new IT infrastructure, and provides regulatory evergreening.

The standard initial margin model (SIMM) is a common methodology to help market participants calculate initial margin on non-cleared derivatives under the framework developed by the Basel Committee on Banking Supervision and the International Organization of Securities Commissions.

Vector Risk provides a true multi-tenancy SaaS solution for VaR, PFE, xVA and FRTB (SA & IMA). Hosted on Microsoft Azure, it uses Microsoft HPC (high performance computing) for extreme computational performance, for example carrying out 32 billion trades valuations in 22 minutes.

The cloud-based risk analytics service provides industry standard portfolio XVA calculations, correctly taking into account netting/economic offset legal agreements, collateral and margining, within a full Monte Carlo framework, across all major asset classes and product types.

Key benefits include: