Numerix, the provider of award winning cross-asset analytics for the structuring, valuation and risk analysis of derivatives and structured products, launches Numerix Counterparty Risk Powered by CompatibL — its integrated solution for calculating potential future exposure (PFE) and credit valuation adjustment (CVA) for derivative portfolios — using a high performance Monte Carlo simulation engine based on the Numerix model library.
CompatibL is a provider of high end custom development services and software for trading and risk management. CompatibL’s flagship software product is CompatibL Analyst, a technical computing software for quants and business analysts which also powers Numerix Counterparty Risk application. CompatibL Analyst provides sophisticated data management capabilities combined with an embedded code editor and execution environment, making it easy to write analytics code in different programming languages, including C++, C#, and Matlab, and to configure this code for multicore, cluster, or cloud execution without the need for complex database or parallel programming.
Built on the Numerix pricing and risk analytics platform, Numerix Counterparty Risk Enabling institutions to actively manage their exposure and make more informed day-to-day trading decisions. Traders and risk managers have access to a fully integrated and comprehensive platform for managing counterparty risk and measuring future exposure during pre-trade discovery, for all major asset classes and an infinite variety of instruments, including complex deals.
Numerix Counterparty Risk can be linked to any trade management system and if the user already employs Numerix Excel or Numerix Portfolio solutions, deal data may be exported via XML and imported directly to Numerix Counterparty Risk.
D.C.