Sell-Side Technology Awards 2014: Best Sell-Side Credit Risk Product — Numerix

While Numerix’s handle on Basel III-mandated credit valuation adjustment (CVA) calculations and dynamic CVA hedging is well-established, it sought this year to do one—or two—better, by finishing up a refresh of its stack to include debt valuation adjustment (DVA) and funding valuation adjustment (FVA) calculations, with a newly reengineered “XVA” framework for CrossAsset as a result. Though neither DVA nor FVA is required of sell-side firms to the extent that CVA is under global regulation—yet—the analytics provider identified a growing need as major investment houses seek to more accurately measure the short- and long-term profit and loss (P&L) of individual trades over time on their own, especially for bespoke contracts and structured notes.
Profitability was once measured simply by mid-market valuation plus client margin. DVA now measures the additional cost incurred by a bank’s own credit quality; FVA, meanwhile, develops a present value of the costs required to secure external funding associated with the trade, and does so upfront, rather than over its entire lifespan. In only one example, JPMorgan highlighted FVA earlier this year as costing the bank an extra $1.5 billion, after it implemented a new calculation framework. If that number was large enough to raise eyebrows and require special explanation in the 2013 fourth quarter results at a bank of JPMorgan’s size, a similar effect is likely to be seen up and down the Street, and in short order.
XVA, therefore, has been designed to project valuation adjustments taking into account the peculiarities of different International Swaps and Derivatives Association (ISDA) contracts that can be structured for 30-year terms or even longer, while aggregating credit risks a portfolio level. It allows CrossAsset to provide all three valuation-adjustment flavors faster, flexibly, and with more transparency to users than in the past, despite the heavy computational capacity these calculations demand. And Numerix’s research in derivatives and pricing theory—respected across the industry as a unique source of strength—ensures the vendor will remain up on the next set of intricate credit risk criteria that takes hold in the post-crisis era. They may even help define it.
Numerix’s research in derivatives and pricing theory—respected across the industry as a unique source of strength—ensures the vendor will remain up on the next set of intricate credit risk criteria that takes hold in the post-crisis era. They may even help define it.
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@waterstechnology.com or view our subscription options here: http://subscriptions.waterstechnology.com/subscribe
You are currently unable to print this content. Please contact info@waterstechnology.com to find out more.
You are currently unable to copy this content. Please contact info@waterstechnology.com to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@waterstechnology.com
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@waterstechnology.com
More on Awards & Rankings
Women in Technology & Data Awards 2025 winner’s interview: Ripple Bhullar (Kyndryl)
Interview with Ripple Bhullar, winner of Vendor professional of the year (business development)
Asia Awards 2025: Best new product/service introduced over the last 12 months—Bloomberg
Bloomberg wins best new product/service introduced over the last 12 months in the 2025 Asia Awards.
WatersTechnology Asia Awards 2025: All the winners and why they won
The winners of the 6th annual WatersTechnology Asia Awards have been announced.
Asia Awards 2025: Best trading network—Iress
Iress wins best trading network in the 2025 Asia Awards.
Asia Awards 2025: Best ESG data provider—FIS
FIS wins best ESG data provider in the 2025 Asia Awards.
Asia Awards 2025: Best performance measurement and attribution product—Finastra
Finastra wins best performance measurement and attribution product in the 2025 Asia Awards.
Asia Awards 2025: Best outsourcing provider—Northern Trust
Northern Trust wins best outsourcing provider in the 2025 Asia Awards.
Asia Awards 2025: Best middle-office platform—OSTTRA
OSTTRA wins best middle-office platform in the 2025 Asia Awards.