NEX imbues derivatives platform with KVA analytics
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NEX imbues derivatives platform with KVA analytics 16 November 2017 London Reporter: Drew Nicol
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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鈥檚 lifetime.
triCalculate is NEX Optimisation鈥檚 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: 鈥淜VA can have a significant impact on derivative pricing since capital charges remain even when market risk is accounted for in the trading book.鈥�
鈥淲ith 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.鈥�
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