Numerix Reveals Solution for Basel III Capital Calculations

Numerix Reveals Solution for Basel III Capital Calculations
03.06.2016 08:30 am

Numerix Reveals Solution for Basel III Capital Calculations

Security and Compliance , Trading Systems

Numerix, the leading provider of cross-asset analytics for derivatives valuations and risk management today announces the availability of its solution to help banks comply with the Basel Committee’s regulatory requirement for Counterparty Credit Risk (SA-CCR) Capital ahead of the January 2017 implementation deadline. Future capital requirements for SA-CCR can be calculated, as well as KVA (Capital Valuation Adjustment) for standard CCR capital. The standardized approach forCVA Basel III Capital has also been addressed and its future capital requirements.

Underpinned by the Numerix Oneview Enterprise platform, its solutions for SA-CCR, CVA Basel III Capital and KVA are available within the Oneview Risk application. A dynamic, flexible dashboard enables users to drill down to different levels of exposure and limits helping risk managers to make informed risk, profitability, collateral and capital allocation decisions.

Users are able to assess Expected Exposure, Expected Positive Exposure and Potential Future Exposure, as well as Exposure at Default alongside calculations for Capital SA-CCR.  SA-CCR numbers can be leveraged within several other regulatory reporting calculations including the Basel III CVA Capital Charge and the BA-CVA (Basic Approach) for determining capital for counterparty spread.

“In today’s market, a grasp of how the marginal risk of a potential trade impacts the overall capital requirements is critical to making informed trading decisions, and also provides guidance on how to reflect the associated capital utilization in the pricing of trades. But the capital regulations can be difficult to navigate and must be well understood before tackling complex computations such as trade-level KVA,” said Satyam Kancharla, Chief Strategy Officer at Numerix. “As existing CVA capital regulations are also being revised to better align with Fundamental Review of the Trading Book it’s serving as a unifying framework for different approaches to the calculation of regulatory capital. With Numerix Oneview, our ability to be interoperable, flexible and transparent enables us to quickly respond to extensions and revisions to regulatory requirements.”

“The consistency of analytics underpinning Numerix Oneview provides flexibility in a number of unique ways allowing users to quickly fulfil regulatory requirements and assess regulations’ impact on the profitability of their derivatives business,” Steve O’Hanlon, Chief Executive Officer of Numerix comments. “Built on its core CrossAsset analytics model library and robust calculation engine, SA-CCR adds to the existing risk modules as part of Oneview providing market practitioners with a consistent derivatives pricing and risk platform for enterprise level risk management – and the optimization of capital, collateral and funding for maximizing profitability.”

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