CVA CALCULATION

for a financial institution using Indizen software

THE CHALLENGE

Our client needed to calculate the valuation adjustment of credit risk derivatives.

However, as they did not want to have permanent software, they asked us to provide a valuation service that performs this calculation and generates appropriate reports for the regulator and, additionally, for their annual corporate reports at a competitive price.

THE SOLUTION

As a result of Indizen’s extensive experience as a provider of consultancy services in the risk and capital market sector for major financial institutions in Spain, we develop our own software covering a range of functions these institutions require.

To provide our client with a solution to their problems, we used our Confluence Counterparty Risk software, which calculates CVA, UCVA, DVA, UDVA and BCVA metrics and offers other functions, such as scenario generation, a credit exposure calculator and valuation of financial instruments.

THE RESULT

We provided a solution to the problem without having to resort to a complex project which, in most cases, is problematic both functionally and technically, and at a drastically lower cost than the solutions provided by major manufacturers in the sector.