KPMG In Germany Selects SunGard’s Adaptiv Analytics For CVA’s Under Basel III
KPMG AG Wirtschaftsprüfungsgesellschaft (KPMG) has chosen to use SunGard’s Adaptiv Analytics to help provide its clients with assessments of credit valuation adjustments (CVA) and to support their use of simulation-based approaches to compute derivatives exposures for internal risk steering and regulatory capital calculations.
For the latter purpose, KPMG has integrated Adaptiv Analytics with its proprietary risk-weighted asset (RWA) calculator and related tools to create “IMM-2-Go,” a framework to help firms rapidly implement an internal models method (IMM) to calculate Basel III default risk and CVA risk charges with respect to derivatives exposures. The use of an IMM can help to alleviate a firm’s regulatory capital constraints which can help provide them with an important competitive advantage under Basel III.
Cubillas Ding, research director at Celent, said, “In today’s increasingly competitive and unpredictable global markets, it is critical to efficiently use and manage capital, with Basel III RWA and CVA as areas of particular concern for many financial institutions. It is important for firms to prepare and equip themselves to perceive and discern risk more clearly to develop competitive advantage in our rapidly changing environment as new risks and regulatory realities emerge on the horizon.”
Juerg Hunziker, president, trading and risk, SunGard’s capital markets business, said, “Basel III is pressuring firms to rapidly adopt advanced simulation approaches to calculate measures like RWA and CVA for internal steering of credit risk. SunGard’s Adaptiv Analytics can help firms and their clients to quickly respond to these requirements and support efficient management of counterparty exposure and CVA.”