Secure web-based platform future-proofed for evolving valuation adjustments and regulatory capital calculations needs
Heightened regulatory requirements on valuation adjustments (XVA) for derivatives instruments and capital calculations under the IFRS 13 and Basel accords require financial institutions to quantify costs of credit (CVA/DVA), funding (FVA) and capital (SA-CCR, BA-CVA) accurately and efficiently.
The Hosted Risk Service utilizes IHS Markit’s cross-asset class derivatives valuation service, best-in-class credit default swaps (CDS) data, and a risk engine proven at tier one banks to support the latest regulatory capital calculations and market valuations adjustments applicable to all derivatives asset classes, including:
- PFE / CVA / DVA / FVA / ColVA
- SA-CCR capital charge
- Basel III Standardized CVA risk capital charge/ BA-CVA