CCR Analytics Engine

Overview

A Python-based counterparty credit risk analytics platform covering 90+ financial products and 16 risk calculators, fully compliant with SA-CCR and Basel III/IV standards.

The Challenge

Financial institutions need accurate counterparty credit risk calculations across a diverse portfolio of derivatives and financial instruments. Existing tools either lack breadth (not covering all product types) or don’t meet Basel III/IV SA-CCR regulatory requirements — leaving risk teams to patch together spreadsheets and fragmented systems.

What We Built

Built a modular Python analytics engine using QuantLib for financial mathematics. The platform implements all 16 SA-CCR risk calculators across asset classes: interest rate derivatives, FX, equities, credit, and commodities. Each calculator is independently testable. The architecture supports both regulatory reporting (SA-CCR) and internal credit exposure management (potential future exposure, expected exposure).

Results

• 90+ — Financial Products. Asset classes covered: rates, FX, equities, credit, commodities
• 16 — Risk Calculators. SA-CCR compliant calculators aligned with Basel III/IV
• SA-CCR — Regulatory Standard. Basel III/IV compliant, ready for regulatory reporting
• Modular — Architecture. Each calculator independently testable and deployable