ICAP, an interdealer broker and provider of post trade services, and Fincad, a provider of financial analytics, have added credit value adjustment (CVA) to Fair Value Insight.
Credit valuation adjustments are required to meet fair value and mark-to-market regulatory requirements (FAS 157/IFRS 7). Fair Value Insight now includes the ability to calculate CVA and a facility to enter proprietary credit curves, so once trade details and credit curves are entered Fair Value Insight does the rest. A full expected exposures table is also provided which can be downloaded for further analysis.
“The addition of credit value adjustment calculations to Fair Value Insight addresses the stringent regulations requiring derivative users to incorporate credit risk in their portfolio valuations,” said Bob Park, president and chief executive officer (CEO), Fincad. “Fair Value Insight not only provides the ability to include this adjustment but also provides complete views of models, assumptions and documented methodology to help with regulatory compliance.”
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