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Risk Loan Calculator

The Risk Loan Calculator is a sophisticated post-trade tool integrated into our client portals that helps institutions evaluate the risk profile of existing loan positions.

Maple Risk Platform Tabs View

Purpose & Functionality​

This tool leverages the collateralization ratios of existing loan structures to calculate liquidation, margin call, and other risk probabilities that provide insight into the current risk of established positions or loan structures.

The Risk Loan Calculator is particularly valuable for ongoing risk monitoring and portfolio management, allowing institutions to proactively identify and address potential issues before they escalate.

Key Features​

  • Post-Trade Risk Assessment: Evaluate existing positions with current market conditions
  • Monte Carlo Simulations: Generate thousands of potential market scenarios
  • Multiple Model Options: Choose from GBM, GBM with Deribit Implied Vol, or Historical data models
  • Integration with Loan Margin Optimizer: Use outputs from the optimizer to refine risk assessments

Input Parameters​

Model Settings​

  • Model Type: Choose from GBM, GBM Deribit Implied Vol, or Historical
  • Monte Carlo Iterations: Number of simulation runs (e.g., 10,000)
  • Model Lookback: Historical data window for model calibration

Position Settings​

  • Principal Asset(s): Loan assets with optional weighting for diversified loans
  • Collateral Asset(s): Collateral assets with optional weighting
  • Current CCR: Current collateralization ratio
  • Margin Call CCR: Margin call collateralization ratio
  • Liquidation CCR: Liquidation collateralization ratio
  • Recovery CCR: Recovery collateralization ratio
  • Position/Loan Size: Value in USD of the loan
  • Position/Loan Duration: Remaining term of the loan in days
  • MC Top Up: Grace period between margin call and top-up requirement
  • Analysis Date: Reference date for historical data (defaults to current date)

Outputs​

The Risk Loan Calculator provides comprehensive risk metrics including:

  • Probability of Liquidation: Risk of hitting liquidation threshold
  • Probability of Margin Call: Risk of hitting margin call threshold
  • Probability of Closeout (Full Liquidation): Risk of complete position liquidation
  • Average Loss Percentage: Expected loss in case of adverse events
  • Average Survival Rate: Expected loan performance metric
  • Probability of Underwater: Risk of collateral value falling below loan value
  • Worst Case Collateralization Ratio: Minimum projected collateralization level

Integration Options​

This tool can be customized to match your institution's specific risk parameters, collateral types, and risk tolerance levels. It integrates seamlessly with other components in your client portal for a comprehensive risk management solution.