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- For a given portfolio, what is the exposure to each of the relevant counterparties involved in end-of-day positions?
- The risk may depend on the type of product, for example, there are differing risks for certain commodities. It also depends on the time horizon, for example, when are certain payments due, what does the market look like for a particular product, etc.
- For foreign exchange, it could mean exposure to a single currency across counterparties or with respect to a certain set of counterparties.
- This may involve not only the risk to certain counterparties and how has that exposure been hedged in order to mitigate it.
- Thus this is sort of a matrix between products and counterparties, all products for one counterparty, all counterparties for one product, with respect to one product and one counterparty ...
- What is the counterparty exposure for a portfolio at any point in time (intra-day, end-of-month, etc.)?
Describe at least one way you expect to use the semantics and/or provenance to propose an answer to the questions. Include an initial description of why the semantics and/or provenance representation and reasoning provides an advantage over other obvious approaches to the problem. (optional – depending on the use case and need for supporting business case).
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V. Resources
In order to support the capabilities described in this Use Case, a set of resources must be available and/or configured. These resources include the set of actors listed above, with additional detail, and any other ancillary systems, sensors, or services that are relevant to the problem/use case.
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