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July 30, 2013

Front Office Analytics for CVA, Capital and Margin

One of the challenges facing traders in the future OTC ecosystem is the greatly increased indirect costs of each trade.  Markit have added to their front office "IRM" tool the ability to analyse a trade in terms of:

  • CVA
  • Regulatory Capital
  • Margin

The tool provides the ability to trial scenarios to make decisions such as:

  • Renegotiating Credit Support Annex (CSA) agreements
  • Moving a portfolio into the new Standard CSA
  • What margin might be required under CCP or WGMR rules
  • How to minimise regulatory capital or reduce CVA

Full details over at Markit: Markit Launches Front Office Analytics Solution


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