Pricing Partners Enhances Credit Risk Engine

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Pricing Partners has offices in Paris, London and Hong Kong.

Regulatory mandates under Basel III rules include provisions for the measurement of counterparty credit risk using CVA VaR. CVA, in its basic form, analyzes the disparity between a portfolio's risk-free value and its true market value, quantifying counterparty credit risk by factoring in the possibility of default. Basel's guidelines state that variations in the underlying spreads of a derivative can affect the CVA, and therefore mandate additional computations to manage the associated risk.

"We are committed to provide to our clients the latest tools to address regulatory requirements and make these challenging issues as smooth as possible," says Eric Benhamou, CEO at Pricing Partners. "We are therefore pleased to introduce a CVA VaR engine that works for any Price-it trade and can aggregate at the portfolio per counterparty the corresponding CVA VaR. This enhancement should continue putting Pricing Partners at the forefront of financial technology platform."

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