Numerix CVA selected for accurate, near real-time credit risk valuations
Numerix (www.numerix.com), the leading provider of cross-asset analytics for derivatives valuations and risk management today announced that pbb Deutsche Pfandbriefbank, a leading European specialist bank for real estate finance and public investment finance has chosen Numerix for its firm wide CVA calculations to assist with regulatory compliance. Chosen for its accurate, near real-time credit risk valuations, Numerix CVA leverages its industry-leading CrossAsset analytics to deliver a highly flexible, transparent solution for CVA and potential future exposure (PFE).
The ability to calculate firm wide CVA numbers for both client and bank counterparties quickly and accurately were key factors in pbb’s decision to further its relationship with Numerix, already long-term users of Numerix CrossAsset, the market standard for cross-asset pricing analytics. Enhancements to Numerix’s hybrid modeling framework allowing for the production of consistent scenarios among multiple risk factors was also critical to producing robust CVA calculations.
“With the high performance Numerix CVA Monte Carlo engine, real-time calculation of CVA per counterparty for the entire firm will be possible,” said Dr. Roland Stamm, head of Risk Methods & Valuation at pbb. “In choosing Numerix CVA we received the best performing methods for each instrument category and a reliable, flexible CVA solution, that above all else was easy to use. pbb has been a long time user of Numerix to price its derivatives portfolios. It is good to be able to utilize the same hybrid model architecture to enhance our risk framework. ”
“With continued regulatory pressure on financial institutions to take an active role in managing counterparty credit risk, robust real-time risk analytics for CVA are now a necessity,” said Steven R. O’Hanlon, president and coo of Numerix. “By working in close partnership with the pbb team and using the advanced trade mapping capabilities of Numerix CVA, Numerix completed the initial CVA implementation for a large sub-portfolio in three weeks, a process that is normally expected to take several months.”
Numerix CVA includes the following key benefits & features:
· Unilateral or bilateral CVA with deal price, deal aging, collateral posting and netting agreements
· Stress testing and drill-down based on business unit, instrument type, desk, position, maturity bucket or custom factors
· Easily integrate new trade types, including exotics
· Incremental CVA
· Consistent model calibration for both market scenarios and deal prices
· Import trade, market and reference data from multiple trading and risk systems
