Source:BBR

KPMG in Germany has selected SunGard's Adaptiv Analytics to offer assessments of credit valuation adjustments (CVA) and support use of simulation-based approaches to compute derivatives exposures for internal risk steering and regulatory capital calculations.

It has combined Adaptiv Analytics with its risk-weighted asset (RWA) calculator and concerned tools, to build 'IMM-2-Go,' a framework to assist companies to quickly deploy an internal models method (IMM) to compute Basel III default risk and CVA risk charges compared to derivatives exposures.

SunGard's capital markets business trading and risk president Juerg Hunziker 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."

IMM has been designed to assist organizations to thwart regulatory capital constraints, therefore offers them with an important competitive advantage under Basel III.

A global network of professional firms, KPMG provides audit, tax and advisory services to an array of clients.