Jabatix Core Valuation consists of various calculation kernels. Each kernel deals with the calculation of a specific measure/ratio.

On a high-granular level, a distinction can be made between two types of measurements:

  • Measure based on cash flows, such as
    • FV based on the Discount Cash Flow Method 
    • FV with constant credit spread based the Discount Cash Flow Method 
    • Amortised cost, including remaining open amortisation and amortisation portion for a specific period
    • Effective Interest Rate 
    • Initial Residual Spread (InRS)
    • Risk Provisions based on Recovery Cash flows 
      • Recoverable Amount 
      • Exposure at Default 
      • Unwinding 
    • Interest accrual
  • Statistical measures for which statistical methods are used for calculation, for example
    • Probability of Default based on historical performance data for customers 
    • Loss given default based on historical performance data for customers
    • Option price models

Beside the different types of measurement also different valuation approaches are supported. 

For each valuation approach finally a specific figure is provided. Hence the software porivdes also detailled figures which are considered during the calculation. Doing so the software follows the philosophy of separation of valuation elements.

A list of general valuation elements can be found here.

Please note: a general valuation element covers calculations which are valid for various finance and risk requirements. Whenever a spcific finance or risk requirement requires a specific setting for calculating a general valuation element, a separate valuation element is provided. For example the valuation element "Effective Interest Rate (EIR)" contains the mathematical approach and processing to calculate the EIR in a standard way. GAAP specifc settings when to recalculate the EIR for subsequent measurement, a GAAP-specific figure is provided. For IFRS e.g. the figure "Effective Interest Rate (EIR) IFRS" is provided which considers IFRS-specific settings during applying the figure "Effective Interest Rate (EIR)".

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