Henselian for banking
See how your risks move when markets move together.
Banks already invest in risk calculations. Henselian makes them fast enough to ask the next question, on every loan, borrower and trade, without waiting for the overnight run.
What banking teams ask us first.
- 01
Rate shocks on every loan and deposit
The supervisory shocks and thousands of curves besides, with every position valued, not averaged.
- 02
Credit losses, borrower by borrower
Expected and extreme losses from a model that knows each borrower, in the same afternoon you ask.
- 03
Exposure to every counterparty
Every trade revalued every quarter on every path, netted and collateralised the way your agreements say.
Models you can start from.
Each one runs on a made-up book shaped like a real one. Yours replaces it when you are ready.
- TreasuryRate risk on the balance sheet, loan by loanEconomic value of equity under the six supervisory shocks and stochastic curves, every loan and deposit valued.
- Credit riskCredit losses, borrower by borrowerExpected loss and 99.9% credit VaR, every borrower's default probability conditional on the year.
- Counterparty riskCVA on every tradeCVA and expected exposure, every swap revalued every quarter on every path, by netting set.
- Group riskGroup economic capital, every exposure simulatedEconomic capital for the group and each business, and how much diversification saves.
How we start
Bring us a problem. We will run it with you.
- 01
We read it
Someone who builds the engine reads what you wrote, then calls you to ask what we need to know.
- 02
We model it
We rebuild your question on a made-up book shaped like yours, so no data has to leave your hands.
- 03
We run it with you
At full size, in front of you, changing it while you watch. Then you decide whether to run it on your own data.
We cannot prevent every storm. We can help you prepare before it arrives.
Bring us the simulation your organisation wishes it could run faster. We will show you what is possible, on a book shaped like yours.