Pricing Partners Extended Functionality on CVA DVA and Bilateral CVA Computation

Hong Kong, Paris and London - 2 May 2012

Pricing Partners, the world leader in OTC derivatives pricing analytics, mathematical models and independent valuation, announced today to have extended its CVA, DVA and Bilateral CVA functionality to work on any trade at a portfolio level and to generate fast computation for marginal CVA, DVA and Bilateral CVA. These new functionalities will allow users to measure the impact of credit valuation adjustment counterparties by counterparties and to estimate the marginal impact of a new trade within a portfolio.

CVA is the market value of counterparty credit risk. In order to asses CVA, one needs to estimate positive future exposure. Yet difficulty lies in the accurate estimation of the positive exposure and the aggregation of positive future exposures across all deals of the derivative portfolio. This positive future exposure can be across many different asset classes and payoffs, which implies many embedded options with complicated exercise rights, especially for path-dependent derivatives. This fact compels Pricing Partners to extend its new-generation generic CVA engine based on its proprietary American Monte Carlo to work efficiently at the portfolio level.

Mr. Eric Benhamou, CEO at Pricing Partners comments: “This new extension on our CVA engine makes our CVA framework one of the best in the market today as it can compute CVA, DVA and Bilateral CVA on any portfolio of trades regardless whether they are vanilla or exotic ones. The aggregation mechanism at the portfolio level has been greatly optimized to reduce computing time to its strict minimum with lots of intermediate computation stored in memory. We are getting positive feedbacks and appreciations from our clients on this new functionality as this helps them tremendously in their heavy duty project to compute CVA for all their trades before year end.”

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