GlobalRisk Releases Interest Rate Swap Valuation Module

Credit valuation adjustment
GRC releases interest rate swap valuation module

Chicago-based risk analysis technology provider GlobalRisk has launched a new interest rate swap (IRS) valuation component of its FirmRisk risk management platform, dubbed the GRC SwapEngine, to provide traders, hedge funds, brokerages, futures commission merchants, interdealer brokers, clearing firms and exchanges with the ability to value IRS portfolios under various market conditions such as stock market crashes and defaults.

GlobalRisk's GRC Engine is fed by Libor, Euribor, EONIA (Euro OverNight Index Average) and OIS (overnight indexed swap) rates and includes support for multiple currencies, bullet and variable notional swaps, intraday swap trade upload and analysis reporting.

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