|[February 04, 2013]
TriOptima Launches Groundbreaking Counterparty Credit Risk Analytics Service, triQuantify
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 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
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 nitial 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
"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
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,
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.
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