VaR

The Basel III CVA deadline is fast approaching. Denny Yu, product manager of Risk for Numerix, explains the quantitative and technological challenges firms face in CVA implementation for both vanilla and exotic derivatives, and the key differences between the standard and advanced approaches for CVA calculations under the Basel III framework.

Deutsche Postbank AG (Postbank), a leading German retail bank, has gone live with SunGard’s Adaptiv Analytics for fast calculation of Monte Carlo Value at Risk (VaR), supporting its entire on- and off-balance sheet capital markets activity. The implementation follows the bank’s adoption of SunGard’s Adaptiv Risk Cube in 2009 for quick access to risk analysis.

New partnership helps bring scalable and adaptable solutions to meet increased regulatory and reporting demands of complex commodities and derivatives portfolios. 

FINCAD Annual Survey shows more than half of buy-side and sell-side expect regulations to have moderate or major impact on their business. 

FINCAD, the market leader for innovative derivatives solutions within the finance industry, released the results of its second annual survey to sell-side and buy-side professionals. In the 2011 survey, 28% of sell-side and 30% of buy-side respondents reported that accurate risk assessment was their biggest challenge. 

FINCAD's second annual Corporate Finance Survey indicates hedge effectiveness and risk top the list of challenges. 

FINCAD, the market leader for innovative derivatives solutions within the finance industry, released the results of its Corporate Finance Survey. 27% of survey respondents listed hedge effectiveness testing as the biggest challenge they currently faced with respect to derivatives. 

SunGard has launched the latest release of Front Arena, a global capital markets solution that delivers position control across multiple asset classes and business lines. Front Arena 2010.1 includes advanced Value at Risk (VaR) and credit limits functionality to help provide customers with improved enterprise trading control. This latest release of Front Arena also helps provide customers with greater transparency, efficiency and position control across business areas.

MSCI Barra’s (NYSE: MXB) acquisition of RiskMetrics (NYSE: RISK) unites two market leaders in systems used by the asset management industry to calculate their Value at Risk (VaR). Once the firms are merged, it is possible that the majority of the global asset management industry will be calculating VaR using models and systems produced by just one company. This will make it more likely that these firms will take similar positions, which will increase systemic risk in the financial sector.

Asserting superior performance of its "standard" fat-tailed risk measures and post-modern methodology during the continuing credit and liquidity crisis, FinAnalytica Inc., leading provider of "glass box" risk management and portfolio construction analytics, today released complimentary access to daily fat-tailed VaR and Expected Tail Loss (ETL) estimates for major broad equity markets.