Course Description

Enterprise Limits, a component of the Calypso Enterprise Risk Solution (ERS) suite, is a cost-effective, efficient solution for limits management across the enterprise. The Calypso Enterprise Limits solution includes both the Market Risk Limits and Credit Risk Limits modules.

Calypso Enterprise Market Risk Limits allows you to set, monitor and manage limits on Positions, P&L, Greeks, Value at Risk, and Stress Scenarios using configurable aggregation hierarchies on attributes such as product, book, currency, country and sector. Trading activity oversight takes place using a configurable dashboard that can be customized to display real-time alerts to the appropriate limits monitoring groups.

The Calypso Enterprise Credit Limits module provides comprehensive solutions for monitoring and managing real-time limits across a variety of risk categories: Settlement Risk, Credit Exposure, Issuer Risk, and Tenor Risk. Calypso Enterprise Credit Limits supports counterparty and netting hierarchies, and has extensive excess management workflow capabilities to ensure that appropriate action is always taken in the event of a limits breach.

The benefits of using Calypso Enterprise Limits include:

  • Rich desk-level functionality to support decisions on a trade or portfolio basis
  • Real-time limit control for monitoring and managing risks in counterparty, issuer, market, credit, and other bespoke trading situations
  • Holistic risk management of limit types on a single application
  • Exposure consolidation across measures
  • Geographic, industry, and rating type exposure concentration in real-time
  • Enterprise limits defined at any level–trader, desk, book, entity and by currency, product/group, or source system
  • Controllable transparency adhering to a “four-eyes” principle

For Information on purchasing the module please email [email protected]

Calypso Learning Services

Course curriculum

  • Introduction to the Calypso ERS Limits Solution

    • Introduction to ERS limits

    • ERS Limits: Overview

    • ERS Limits: Dashboard Configuration

  • Credit Risk: Defining and Configuring Limit Measures and Parameters

    • ERS Limits - Credit Risk Limit Measure Definition

    • ERS Limits: Credit Exposure Configuration

    • ERS Limits: Creating Hierarchies

    • ERS Limits Configuration & Parameters

    • ERS Limits: Limit Groups

  • Market Risk: Tenor Limts and Pricer Measures

    • ERS Limits: Market Risk and Market Risk Hierarchy

    • ERS Limit Measure Validation

  • Deal Checks, Violation Management, Workflow, and Lifecycle

    • Front Office Support and Limit Workflow

    • ERS Limits Violation Management

    • ERS Limits: Violations

    • ERS Limits: Authorization & Audit Panels

    • ERS Limits: Check Limits Panel

  • EOD Report Configuration

    • ERS Limits: EOD Report Configuration

    • ERS Limits: Configuring Reports

    • ERS Limits: Scheduled Tasks and Batch Jobs

  • FAQ and Exercises

    • ERS Limits- FAQs