Markit Introduces CVA and Capital Solution

Credit data provider Markit has announced its Markit Analytics credit valuation adjustment (CVA) and Capital platform, a compliance tool geared toward Basel III internal modeling.

The platform will help enable banks using simulation-based risk management techniques, including the internal model approach (IMA) for market risk capital and the AIRB internal model method (IMM) for counterparty credit risk capital, to adapt the more advanced Basel III-mandated CVA value-at-risk (VaR) method to calculate capital charges. Markit says the solution was first tested and implemented by a financial institution hedging the CVA of a multi-currency derivatives book on a batch and intraday basis.

"Our core calculation engine combines trade-level pricing accuracy with portfolio-level simulation speed without having to resort to unwarranted approximations that make implementations costly and regulatory approval challenging," says Paul Jones, director at Markit Analytics.