Jabatix Core Valuation consists of various calculation kernels. Each kernel deals with the calculation of a specific figure/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
A list of valuation elements can be found here.