KPMG in Germany has chosen SunGard’s Adaptiv Analytics to help clients with assessments of credit valuation adjustments (CVA) under Basel III.
KPMG has integrated Adaptiv Analytics with its proprietary risk-weighted asset (RWA) calculator and related tools to create IMM-2-Go.
The IMM-2-Go framework will help firms implement an internal models method to calculate Basel III default risk and CVA risk charges with regards to derivatives exposures.
The internal models method can help to alleviate a firm’s regulatory capital constraints that can help provide them with an important competitive advantage under Basel III.
Cubilla Ding, research director at Celent, said: “In today’s increasingly competitive and unpredictable global markets, it is critical to efficiently use and manage capital, with Basel III RWA and CVA as areas of particular concern for many financial institutions.”
“It is important for firms to prepare and equip themselves to perceive and discern risk more clearly to develop competitive advantage in our rapidly changing environment as new risks and regulatory realities emerge on the horizon.”
Juerg Hunziker, president of trading and risk at SunGard’s capital markets business, said: “Basel III is pressuring firms to rapidly adopt advanced simulation approaches to calculate measures like RWA and CVA for internal steering of credit risk.”
“SunGard’s Adaptiv Analytics can help firms and their clients to quickly respond to these requirements and support efficient management of counterparty exposure and CVA.”
