ActiveViam, the global in-memory data aggregation and analytics firm, has successfully run the International Swaps and Derivatives Association’s (ISDA) benchmarking unit test for the Basel Standardized Approach to the Credit Valuation Adjustment (SA-CVA), making it the first and only ISDA-licensed vendor to have passed both unit tests for SA-CVA and the Fundamental Review of the Trading Book (FRTB).
“We are delighted to be the first vendor to pass ISDA’s unit tests for the SA-CVA,” said Colleen Cosgrove, Director of R&D Fintech Apps for ActiveViam. “We look forward to continuing to partner with ISDA in their effort to create best practices and assist the banking community in meeting global regulations.”
The SA-CVA regulation seeks to cover any potential losses resulting from an increase in counterparty credit risk. The Basel Committee on Banking Supervision in July revised the regulation and reduced certain risk weights.
Conforming to the unit tests is known as the ISDA “Golden Source Results”, meaning completely in-line with industry standards.
“ISDA continues to support the adoption of its unit tests as the industry standard for trading book capital models as part of the ISDA SA Benchmarking exercise, and solution providers like ActiveViam are a key part of this initiative,” said Olivier Miart, Head of Risk & Capital Analytics at ISDA.
ActiveViam was founded in 2005 and has deployed analytical solutions to help financial services firms make instantaneous business decisions and meet operational challenges. With a comprehensive offering of analytics and data science products based on in-memory technology and expert-designed user interfaces, ActiveViam’s clients achieve a unique level of precision, speed, and adaptability.
ActiveViam’s software solutions are used today by global banks, hedge funds, asset managers and derivatives exchanges for their most sensitive and intensive analytics needs. Our offices are located in Paris, London, New York and Singapore and we serve 90+ clients in more than a dozen countries.
For more information visit www.activeviam.com and find out more about our financial services solutions.