Numerix Integrates FVA Framework

The framework, which uses a simplified version of the valuation methodology proposed by Vladimir Piterbarg and foundational analytics previously deployed for algorithmic calculation of counterparty exposure, will be available in the vendor's CrossAsset suite, and will also offer deal-by-deal computation that can be used for parallelization. It was recently developed by senior vice president Serguei Issakov and the team of quants he oversees at Numerix.

“As banks come to terms with the true cost of funding collateral and the significant role it plays in overall profitability, the Numerix approach gives users the tools and flexibility to apply FVA in a way that suits their specific needs and methodologies. Institutions can not only measure and account for funding cost, but more effectively manage how it could change over time due to the bank’s own credit quality, and ultimately capture profit-and-loss (PnL) impact,” says Steven O’Hanlon, CEO at Numerix.