Risk software survey 2011
Banks are gearing up to meet strict new Basel III rules on counterparty credit risk, including a new charge for credit value adjustment, as well as the Basel 2.5 package of market risk capital amendments. At the same time, firms are thinking ahead to the start of mandatory clearing of standardised over-the-counter derivatives. Technology vendors are adapting their products in response – as this year’s software survey shows. By Clive Davidson
ALGORITHMICA RESEARCH
Version 3.3 of the Quantlab development platform for quantitative analysis includes work spaces for fixed-income trading analytics, expanded support for multi-curve term structure models, contribution of real-time data to market data services, and support for Numerix models. Version 3.4 of the Algorithmica Risk Management System includes a credit counterparty risk module for calculating potential future exposure and credit value adjustment (CVA) using a high-performance
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