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.”
The annual BNP Paribas Cash Management University kicked off on Thursday morning with treasury professionals congregating in Paris from across Europe.
APIs may be a solution to MT940 challenges, says Karen Fagan, treasury operation manager, for British television company, ITV.
Kicking off the first day of the Singapore Fintech Festival, issues with cryptocurrencies were addressed by MIT media labs director, Joi Ito, and panels of technology leaders discussed how they’re using data analytics.
Sibos 2017 day two highlights: Brexit and banking, and why ‘data is the new oil’ in financial services
How nation first politics can impact global financial organisations It’s clear that data and regulation are the two key topics that are ... read more