An extensible SaaS counterparty risk platform startup.

What risk professionals tell us they need

Underlying pricing/risk methodologies that have passed validation muster by numerous banks and non-bank swap dealers subject to strict regulatory model risk management requirements under e.g. Federal Reserve’s SR 11-07 and Prudential Regulation Authority’s CP6-22/PS6-23 model risk management principles for banks
User-friendly interfaces (visual, non-visual)
An innovative Scripted Trade framework to author and describe the payoff of even the most complex financial instruments
Not a “black box” like other vendor systems and can be extensible and customized to precise client requirements
Customisable risk metrics and robust analytics (including regulatory reports)
Provides real-time monitoring and alerts
Integrates easily with data sources including market data (e.g mapping to RIC & BBG codes)
Is scalable and fast
Built-in data security and privacy
Can be customised and extended
Leverages AI to assist with report writing, intepreting data

Why we exist

We believe in challenging the status quo in counterparty credit risk. We believe it can be easier, smarter and faster.

Key element of our underlying software (e.g. QuantLib, Open Risk Engine) is already used at major insitutions in the USA and Europe.

Vannarho provides a secure, cloud-native counterparty credit risk platform to support both Basel's internal model method and standardised methods that solves for major limitations of current platforms e.g.

* Speed: Many large counterparty risk jobs can run for 8 hours or more and can often fail. Also, real time risk analytics for pricing can be delayed by 30 minutes or more.
* Maintainability and Cost: Aging technology sets for counterparty credit risk were not designed for the API-centric, cloud-native world. Access to talent to manage these risk systems is also becoming harder to come by.

* Smarts: Leveraging computing innovations is difficult (e.g. AAD, Multithreading, AI)

Key use cases

1) as a benchmarking tool to facilitate and prototype propriety internal models at large institutions, informing primary model development without “recreating the wheel” for basic model components like discount curve construction and/or risk factor evolution models in exposure simulations

2) as an independent model utilised by local Model Validation teams at large institutions, saving enormous time in preventing one-time/”offline” model creation and/or replication

3) as the primary pricing and risk model for smaller-to-medium-sized institutions lacking either the budget for larger-scale vendor software and/or large development teams to support proprietary internal model development.

Process overview

Step 1 – Setup and Calibration:

Load the trade portfolio.
Construct any required yield curves or term structures used in pricing.
Calibrate pricing and simulation models.

Step 2 – Valuation and Scenario Generation:

Perform portfolio valuation and generate expected cash flows.
Carry out risk analytics such as sensitivity analysis, stress testing, and standard capital rule computations (e.g., SA-CCR).
Conduct full Monte Carlo simulations to produce forward-looking valuations over time.

This step produces several reports including NPV and cash flows, and most importantly, the NPV Cube—a dataset capturing NPV values per trade, per scenario, and per future date. The NPV cube is written to both binary and human-readable text formats.

Step 3 – Post-Processing and Advanced Risk Analytics:

Aggregate results over trades and netting sets.
Apply collateral rules to compute simulated variation margin and dynamic initial margin.
Compute various XVAs including CVA, DVA, FVA, and MVA, both with and without accounting for collateral. Results can be allocated down to the trade level.

The main outputs of this step are comprehensive XVA reports and the netted NPV cube, representing the final post-collateral and netted exposures.

Our How

Vannarho leverages the open source community's work on risk analytics and XVA.
We run on Google Cloud Platform but can be configured to operate on your chosen cloud provider.

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