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A-Team Insight Blogs

Fincad Launches its Expanded Analytics Suite to Address Market Volatility

Fincad today announced the launch of Fincad Analytics Suite 2010. Fincad has made substantial enhancements to its analytics library in response to credit market disruptions, high volatility and regulatory compliance requirements.

Interest rate curve improvements further enhance Fincad’s curve building techniques and add additional flexibility to Analytics Suite products. Responding to market anomalies, these improvements provide the choice of multiple types of market data inputs and allow for tenor basis adjustments.

To assist with evolving regulations, including FAS 157 and IFRS 7, Fincad expanded counterparty credit risk coverage to include Potential Future Exposure (PFE) and Credit Value Adjustment (CVA) on portfolios of interest rate derivatives, bonds and user defined cash flow streams.

An implementation of the ISDA Standard CDS Model is integrated into Fincad Analytics Suite 2010, both as a function and a professionally-designed workbook. The Fincad implementation includes comprehensive risk reports and default curve generation. In addition, a new credit index basis adjustment to default probability curves allows more accurate pricing of CDS index trades.

Volatility coverage has been strengthened by expanding the use of the Heston stochastic volatility model for a variety of option types including Asian, Cliquet, and barrier, as well as capped variance swaps. Usability enhancements provide holiday calendars for multiple jurisdictions, and make troubleshooting spreadsheet errors easier.

“Market volatilities and ongoing pressures to raise the bar on both financial and non-financial risk management practices mean that firms need to find ways to optimise and do more with less”, said Mayiz Habbal, senior vice president, Celent. “The priorities for market leading firms are to keep on top of the game and maintain an active engagement in line with ongoing regulatory and industry developments in derivatives markets. In addition to specific functional capabilities, we are also seeing sell side firms, asset managers and hedge funds emphasise broader themes around lower cost of ownership, enhanced usability of information, and the timely delivery of insights to the right stakeholders.”

“In the wake of unprecedented market events Fincad Analytics Suite 2010 represents a significant advance towards helping our clients contend with the new realities,” said Bob Park, president and CEO, Fincad. “We have responded with enhancements that will allow our clients to safeguard against extreme market events, while providing functionality that rivals anything currently available in the market.”

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