CDS Sensitivities will help risk managers to comply with regulations that require firms to disclose how the firm perceives, measures and manages financial risk.
Markit has added a sensitivities report to its end-of-day prices for credit default swaps (CDS). This new service will provide users with information into how sensitive a particular CDS spread level is to changes in interest rates, credit quality, and recovery assumptions, according to the vendor.
"Having independent data to enable analysis of the relationship between price and variables like interest rates and credit quality is very valuable in giving additional metrics for quantitative and qualitative assessment of the potential volatility of a portfolio," says Armins Rusis, global head of data, indices and research at Markit.
In addition to helping traders make more informed decisions, Markit says that CDS Sensitivities will also help risk managers to comply with IFRS 7 and other regulations that require management to disclose how the firm perceives, measures and manages financial risk.
Adam Sussman joins Anthony Malakian to talk about Liquidnet's acquisition of OTAS, machine learning and AI, and what the buy side wants from analytics platforms.Subscribe to Weekly Wrap emails
- UPDATE: Liquidnet Acquires OTAS Technologies
- CFTC Sets Up Lab to Connect with Fintech Firms
- Tradeweb APA Signs BNP Paribas, Credit Suisse, Morgan Stanley, Societe Generale for Mifid II Reporting
- Waters Rankings 2017 ─ Voting Now Open
- Waters Wavelength Podcast Episode 70: A Look at Liquidnet's Acquisition of OTAS