KPMG in Germany will use SunGard’s Adaptiv Analytics to provide its clients with assessments of credit valuation adjustments and to support their use of simulation-based approaches in computing derivatives exposures for internal risk steering and regulatory capital calculations.
For the latter purpose, KPMG has integrated Adaptiv Analytics with its proprietary risk-weighted asset calculator and related tools to create “IMM-2-Go,” a framework that helps firms implement an internal models method, IMM, to calculate Basel III default risk and CVA risk charges with respect to derivatives exposures.
KPMG In Germany Selects SunGard Adaptiv Analytics
SunGard’s Adaptiv Analytics will help support KPMG's assessments of credit valuation adjustments under Basel III.