Pricing Partners, the world leader in OTC derivatives pricing analytics, mathematical models and independent valuations, have announced that it has extended its CVA engine to provide regulatory CVA VaR on all derivatives.
The Basel III proposals for counterparty credit risk contain significant enhancements related to the CVA and in particular the needs to account for variation in CVA with a regulatory CVA VaR computation. This computation disclosed in the Basel III annex takes into account variations of credit spreads that in turns affect CVA. This CVA VaR calculation shares with CVA the same computational challenge. To address this, Pricing Partners has upgraded its CVA engine to be able to compute at the portfolio level the CVA VaR for any generic trade, using its powerful American Monte Carlo.
Eric Benhamou, CEO of Pricing Partners comments: “We are committed to provide to our clients the latest tools to address regulatory requirements and make these challenging issues as smooth as possible. We are therefore pleased to introduce a CVA VaR engine that works for any Price-it trade and can aggregate at the portfolio per counterparty the corresponding CVA VaR. This enhancement should continue putting Pricing Partners at the forefront of financial technology platform.”