About a-team Marketing Services
The knowledge platform for the financial technology industry
The knowledge platform for the financial technology industry

A-Team Insight Blogs

Algorithmics Launches New Credit Valuation Adjustment Module

Subscribe to our newsletter

Algorithmics has released a new Credit Valuation Adjustment module aimed at helping banks to use their capital more efficiently through more accurate pricing and hedging of counterparty exposures. The module is an extension to Algorithmics’ Algo Counterparty Credit Risk solution.

Ben De Prisco, senior vice president of research and financial engineering at Algorithmics, says: “Conditions in financial markets today, make it more important than ever to take into account the creditworthiness of your trading counterparties. The consistent and systematic application of Algorithmics’ Credit Valuation Adjustment module will allow financial institutions to incorporate the pricing of credit risk into their derivative transactions, leading to a more comprehensive pricing and capital management approach.”

Algorithmics’ Algo Counterparty Credit Risk solution enables financial institutions to measure unilateral and bilateral credit valuation adjustment (CVA) for complex multi-asset portfolios, to calculate the incremental impact of new trades on counterparty CVA in near real-time, and to hedge the market risk and counterparty credit risk of CVA to reduce overall profit and loss volatility.

Benefits of the module include: more accurate mark to market reporting; management of market and credit risk of CVA; improved pricing, hedging and transfer pricing of counterparty credit risk; and creation of more credit capacity and reduced capital consumption.

Mark Engel, managing director of Scotia Capital, says: “In this market, knowing our CVA at deal time is necessary for us to competitively price our trades. Also, having a detailed CVA risk profile is essential to manage our counterparty risk exposures.”

Bob Boettcher, senior director of product strategy for Algorithmics, adds: “The ability to measure and manage credit risk has never been more important. As CVA is the market price of counterparty credit risk, it is a great illustration of the importance of an integrated, forward looking framework for market and counterparty credit risk.“

The Algorithmics Counterparty Credit Risk solution was recently benchmarked as being able to process one million trades on a $10,000 server across 5,000 scenarios and 125 time steps in less than two hours for a realistic Tier 1 bank trading portfolio.

Subscribe to our newsletter

Related content

WEBINAR

Upcoming Webinar: Streamlining trading and investment processes with data standards and identifiers?

3 June 2025 10:00am ET | 3:00pm London | 4:00pm CET Duration: 50 Minutes Financial institutions are integrating not only greater volumes of data for use across their organisation but also more varieties of data. As well, that data is being applied to more use cases than ever before, especially regulatory compliance and ESG integration....

BLOG

Data Seen as Solution to Weathering Climate Stress

Recent stress tests of European financial institutions’ resilience to climate change have underlined the importance that high-quality data will play in fortifying banks, insurers and other organisations against the risk of transition and environmental losses. The region’s three financial regulators and the European Central Bank said that the results of their one-off “Fit-for-55” analysis found...

EVENT

Data Management Summit London

Now in its 15th year, the Data Management Summit (DMS) in London brings together the European capital markets enterprise data management community, to explore how data strategy is evolving to drive business outcomes and speed to market in changing times.

GUIDE

Regulatory Data Handbook 2024 – Twelfth Edition

Welcome to the twelfth edition of A-Team Group’s Regulatory Data Handbook, a unique and useful guide to capital markets regulation, regulatory change and the data and data management requirements of compliance. The handbook covers regulation in Europe, the UK, US and Asia-Pacific. This edition of the handbook includes a detailed review of acts, plans and...