Waters Rankings 2021: Best credit risk solution provider—IHS Markit

WHY THEY WON

For 11 years, Numerix and Moody’s Analytics have dominated this category. So the fact that there is a changing of the guard and that it is IHS Markit leading that charge says something about the vendor’s Risk Bureau launch and how readers of WatersTechnology are taking a shine to the offering.

WHAT’S NEW

Last year, IHS Markit launched Risk Bureau, which provides on-demand access to its risk calculations on a one-off or periodic basis. The aim of the release is to allow clients to supplement their internal systems with additional analytics provided by IHS Markit. Credit risk applications in Risk Bureau include the XVA Neural Net Pricer, which provides rapid XVA pricing and sensitivities using machine learning. The Credit Forecasting Utility provides insight into credit curves in the near- and medium-term, inferred from IHS Markit’s market data and stochastic simulation capabilities. Finally, its XVA Hypercube provides insight into bilateral counterparty CVA costs and the Basel capital requirements of regulated banks. 

The vendor has also been working on further integrating its in-house market data with its analytics so that it can offer hosted services.

In addition, it rolled out support for rating dependent thresholds in CSA agreements to ensure the credit mitigation feature is correctly priced into CVA. And IHS Markit continued to improve its web-based UI so that measures like CVA and PFE could be investigated from the portfolio level down to legal agreements and the trade level. P&L explainer screens were also added, allowing users to attribute changes in CVA to market risk factors and portfolio moves. 

WHAT’S TO COME 

As the regulatory environment continues to evolve and expand globally, IHS Markit will look to help clients to adjust in real time, most notably with SA-CCR for counterparty credit risk and SA-CVA for CVA risk capital. 

The vendor will also focus on onboarding users to its risk-as-a-service offering, which provides the necessary market data, analytics, and computing power to run these high-powered calculations.