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Accelerated Margin Valuation Adjustment

The phased introduction of bilateral initial margin is affecting institutions with gradually decreasing size. Institutions who stand to benefit the most from a central analytics service are coming into scope, and as a response, triCalculate has added Margin Valuation Adjustment to the catalogue of risk metrics.

The new modelling framework, the Probably Matrix Method increases the speed and accuracy of calculating valuation adjustments, meaning that triCalculate can cater for a large number of customers simultaneously.

This white paper explores how the sheer speed of the triCalculate engine improves accuracy and reliability, ensuring the effective management of credit risk costs with minor resource investment.