Version 10.2 includes support for calculating effect-of-funding costs on OTC valuation using funding valuation adjustments (FVA) functionality.
New York-based Quantifi, a provider of analytics and risk management technology to the global OTC markets, has announced support for funding valuation adjustments (FVA) as part of its latest version 10.2 release. This enhancement, according to Quantifi, allows firms to accurately measure the effect-of-funding costs on the valuation and risk management of OTC derivative portfolios. The increasing...
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