LONDON & NEW YORK--(BUSINESS WIRE)--TriOptima announces today that it is launching triQuantify, a groundbreaking counterparty credit risk analytics service for OTC derivatives. TriOptima has licensed Global Valuation Ltd’s (“GVL”) software to power the new service.
“The financial crisis in 2008 revealed shortcomings in the risk models used at the time”
The new service will be integrated with triResolve, TriOptima’s counterparty exposure management service where 90% of all collateralised OTC derivatives globally are reconciled on a daily basis. Expected to go live later this year, TriOptima is working with clients to pilot the new service, triQuantify.
The risk analytics software developed by GVL employs globally consistent numerical methods to achieve more granular and realistic modeling of financial risks than traditional “local” models. The novel design of the software makes full use of state of the art massively parallel computing devices to deliver unprecedented performance and improved accuracy.
“The financial crisis in 2008 revealed shortcomings in the risk models used at the time,” said Per Sjoberg, CEO of TriOptima. “Both banks and regulators are now looking for more accurate and realistic models. We are convinced that the novel approach used by GVL will mean a leap forward in the modeling of these risks. We anticipate that many types of institutions with OTC derivative portfolios will find triQuantify meets both broad and specific risk modeling requirements.”
TriOptima’s new centralized service for counterparty credit risk analytics for OTC derivatives, will provide a full range of counterparty credit risk metrics including:
- Credit Value Adjustment
- Potential Future Exposure
- Funding Value Adjustment, etc.
The new service can be used by institutions to validate and benchmark existing risk calculations or as an outsourced risk service. TriOptima plans to get its risk models and processes approved for regulatory capital calculation of counterparty credit risk.
triQuantify will also provide Initial Margin calculations for bilateral trades, proposed by the Basel committee and IOSCO. Parties using such a centralized service will avoid the potential for disputes if each party made its own calculation.
GVL will continue to sell the software on a standalone basis.
GVL will also set up a service that will calibrate the models based on market data supplied by ICAP Information Services. The calibrated model parameters will be used by TriOptima and made available to clients on a subscription basis.
“Running portfolio simulations on a global scale consistently and with high quality models is an overdue concept whose time has finally come, said Claudio Albanese, founder and CEO of GVL. “We are pleased that TriOptima has taken the lead and leveraged their established technology for processing OTC trade data on a global scale. We are also delighted to collaborate with ICAP Information Services, the leading provider of market data. The GVL architecture is ideally suited for the global scale of this new service.”
Euclid Opportunities, ICAP’s post trade seed funding vehicle, introduced GVL to TriOptima.
TriOptima, an ICAP Group company, is the award-winning provider of OTC derivatives post trade risk management services including triResolve, triReduce and the recently-launched triBalance.
triResolve is a network community service that provides counterparty exposure management services including proactive portfolio reconciliation of OTC derivative portfolios, margin call management, and dispute resolution. Used by more than 250 firms including all global dealers, regional banks, asset servicers, and buy-side firms, triResolve regularly reconciles 6.3 million trades representing more than 90% of all collateralized OTC derivative transactions globally. The service benefits trade control, settlement, documentation, collateral and counterparty credit risk function.
triReduce, the portfolio compression service for OTC derivative dealers, offers a range of multilateral compression services across asset classes that eliminates counterparty and operational risk and reduces operational and capital costs. Serving over 169 bank and non-bank subscribers worldwide including the major local and global dealers in derivatives, triReduce is a critical tool for maintaining post trade processing efficiency and minimizing counterparty exposure. triReduce offers compression cycles in single name and index CDS swaps worldwide, IRS swaps in 25 currencies, and a range of commodity derivatives.
triBalance, facilitates proactive counterparty risk management by rebalancing counterparty risk exposure between multiple CCPs and bilateral relationships (in Rates, Credit and Commodities) enabling an efficient use of capital and collateral and reducing systemic risk.
TriOptima maintains offices in London, New York, Singapore, Stockholm, and Tokyo.
GVL was founded in 2006 with the objective to develop a new architecture for portfolio valuation and simulation. GVL technologies unleash all the power of the most recent microchip and board designs. Having served first tier clients in bespoke engagements, GVL is currently stepping up its efforts to commoditize its product offering in collaboration with TriOptima and ICAP.