Algo releases new Credit Valuation Adjustment module

According to the vendor, the new module is an extension of Algorithmics' Algo Counterparty Credit Risk offering, which allows institutions to measure unilateral and bilateral credit valuation adjustment (CVA) for complex multi-asset portfolios, to calculate the incremental impact of new trades on counterparty CVA in near real-time, and to hedge the market risk and counterparty credit risk of CVA to reduce overall profit and loss volatility.

To continue reading...

You need to sign in to use this feature. If you don’t have a WatersTechnology account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: