Markit, the financial information services company, is launching Markit Analytics CVA & Capital, a Basel III-compliant platform that integrates management of credit valuation adjustment (CVA) and internal model capital.
Under Basel III, banks that use the internal model approach (IMA) for market risk capital and the advanced internal ratings-based (AIRB) approach to calculate counterparty credit risk capital are required to use the CVA value at risk method to calculate the CVA capital charge.
Markit Analytics CVA & Capital is intended to calculate CVA, funding valuation adjustment (FVA) and internal model capacity for CVA, counterpart credit risk and market risks. The service covers all asset classes, and includes pre-inception charging, credit checking, post-trade profit and loss calculation and capital management.
Our proven 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 of Markit Analytics. This new solution will cement our position in the industry as banks look increasingly for a vendor with a strong track record so they can allocate capital back to each product line effectively.
(OS)