NEX imbues derivatives platform with KVA analytics
16 November 2017 London
Image: Shutterstock
NEX Optimisation has introduced capital valuation adjustment (KVA) analytics to its triCalculate valuation adjustment service (XVA).
KVA calculations determine the lifetime costs of capital as part of the pricing of an over-the-counter (OTC) derivative and the service will helps firms understand the capital costs an OTC trade will consume over the portfolio’s lifetime.
triCalculate is NEX Optimisation’s centralised, web-based service that provides independent trade valuations and XVA risk calculations for OTC derivatives that allows users to generate independent trade and netting set level XVA calculations as well as risk sensitivities.
Martin Engblom, co-CEO of triCalculate, said: “KVA can have a significant impact on derivative pricing since capital charges remain even when market risk is accounted for in the trading book.”
“With regulatory pressures mounting and modelling challenges around pricing KVA, we continue to develop functionality to support complex market needs with the addition of advanced yet efficient KVA calculations to our secure, web-based triCalculate service.”
KVA calculations determine the lifetime costs of capital as part of the pricing of an over-the-counter (OTC) derivative and the service will helps firms understand the capital costs an OTC trade will consume over the portfolio’s lifetime.
triCalculate is NEX Optimisation’s centralised, web-based service that provides independent trade valuations and XVA risk calculations for OTC derivatives that allows users to generate independent trade and netting set level XVA calculations as well as risk sensitivities.
Martin Engblom, co-CEO of triCalculate, said: “KVA can have a significant impact on derivative pricing since capital charges remain even when market risk is accounted for in the trading book.”
“With regulatory pressures mounting and modelling challenges around pricing KVA, we continue to develop functionality to support complex market needs with the addition of advanced yet efficient KVA calculations to our secure, web-based triCalculate service.”
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