PA Consulting Group's (PA) Collateral and Liquidity Risk Model employs a delta-normal VaR technology at a pre-defined confidence level to perform collateral analytics. The user can enter in a sample set of trades, along with volatility and pricing information, correlation data, master agreement information and other details. PA's Collateral and Liquidity Risk Model then calculates expected and potential future collateral requirements for the sample portfolio and for each sample netting group.
PA's Collateral and Liquidity Risk Model is implemented in Access 2003™ and can be run using Office 2000™ or Office XP™.
To request a copy, please ensure you have read the terms and conditions and fill out the form below.
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