Numerix Clear Market leader for CVA, FVA & DVA Calculation, Drives Innovation with Automated Model Validation Testing Technology
Numerix, (www.numerix.com) the leading provider of cross-asset analytics for derivatives valuations and risk management, today announced that it has been voted #1 in the annual Risk Technology Rankings for the individual categories of “Enterprise Risk Management” - CVA, DVA and FVA calculations and “Pricing Analytics” - Structured Products.
Regulatory and accounting compliance driven by Basel III CVA capital charges and IFRS 13, as well as the move from bilateral trades to central clearing continues to create complex challenges and optimization problems for many financial institutions. XVA calculations also require simulation-based approaches which are computationally demanding and a challenge to produce fast enough to incorporate into pre-trade prices.
“The flexibility of CrossAsset is a key differentiator for Numerix. It not only allows us to adapt to future regulatory and market infrastructure changes, but seamlessly displace inflexible legacy systems that aren’t capable of producing robust, high-performance calculations,” said Steven R. O’Hanlon, Chief Executive Officer & President of Numerix. “Counterparty Credit Risk calculations made available post-trade, or even in overnight batch calculations is totally insufficient for intra-day, pre-trade risk management, limit checks and counterparty decision making. Numerix XVA analytics brings the full range of valuation adjustments into pre-trade analysis enabling real-time results for fast trading and risk decision making.”
Over the past year, Numerix has continued to innovate its solution for the measurement and management of counterparty exposures as institutions seek to adopt a more holistic approach for assessing trade profitability and allocating capital to their business. Numerix introduced its next generation CVA offering built on its enterprise pricing and risk analytics engine the Numerix CrossAsset analytics platform. Numerix CrossAsset enables a consistent source of calculations within a real-time enterprise framework that’s scalable, transparent and flexible. Calculations can be performed on a desktop or server, or distributed to a grid or cloud to achieve real-time performance for pre-trade analysis.