»Win-win for you and your customers: With LPACalc we enable you to analyse, valuate, and present financial risks and possibilities.«
Our tool for the structuring and analysis of financial instruments: LPACalc software
with implemented valuation models makes risk management
more efficient and secure.
The Future of Your Proactive Customer Consulting
LPACalc provides the automated valuation and analysis of a complete portfolio—chose from a number of valuation models. Our software helps with the determination of economic and regulatory proprietry capital according to Basel II and III on single transaction and portfolio basis. We also implemented the calculation of CVA, DVA, the consideration of collateral agreements and further xVA-components.
The risk management tool runs via a Citric installation with market data that we provide you with, or you install it on your own system with a supply of market data by us, Bloomberg, or Thomson Reuters. That way you always have valuation models with up-to-date data available.
LPACalc Is Suitable for:
- Saving Banks
- Other Financial Service Providers
LPACalc Is Used in these Areas:
- Product Structuring / Product Management
- Risk Management
- Risk Controlling
LPACalc enable the consideration of many asset-categories according to the following valuation models:
- Interest Rates: Black- / Linear-Rate-Model, Bachelier Model, Libor Market Model (LMM) with »Displaced Diffusion« for negative rates, Cap and Swaption Smile as well as Local / Stochastic Vol (SABR) and CMS-replica model
- FX, Resources, and Equities: Heston (Stochastic Vol), Stochastic Local Vol, Black-Scholes, and Hybrid Interest Rate- and FX-Model with n-currencies, FX and Interest Rate and global calibiration for xVA-calculations
- Inflation Models: Forward-CPI-Model, Hybrid Inflation- / Interest Rate-Model