Prudent Valuation Optimisation

Services

Our team partners with you from start to finish to ensure you achieve results fast and maximize value with your FINCAD investment.

Prudent Valuation Optimisation (PVO)

FINCAD’s Prudent Valuation Optimisation (PVO) service helps leading financial institutions that are already compliant with prudent valuation requirements calculate their optimal netting procedure for a marked reduction in capital costs.

Overview

To meet requirements outlined in the European Banking Authority’s (EBA) Regulatory Technical Standards, financial institutions throughout Europe have invested heavily in implementing well-defined prudent valuation frameworks.

While banks have been largely focused on what they need to do to achieve compliance, it’s equally important to understand how your firm can benefit from the regulation. In fact, flexible policies set forth by regulators in regards to netting provide scope for firms to realise significant capital savings.

FINCAD’s Prudent Valuation Optimisation service helps your firm reach optimal netting under regulatory requirements.

Our Optimisation Strategy

FINCAD helps clients realise ideal netting by focusing on the core Additional Valuation Adjustments (AVAs) for Market Price Uncertainty (MPU) and Close Out Costs (CoCo).

Our optimisation strategy is based on the following rationale:

What We Do: Substantial netting is allowed by the regulator, which in turn opens firms up to significant capital savings. FINCAD's team of experts help you realise your maximum netting benefit.

Our Focus: We focus on the AVAs associated with MPU and CoCo as this is where quantitative optimisation can be applied to the netting of risk exposures.

How We Make it Simple: FINCAD does not require comprehensive knowledge of your internal processes. We generate your optimal netting portfolio efficiently based on your original exposures.

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Technical Paper

Prudent Valuation Optimisation

FINCAD's Prudent Valuation Optimisation service helps your firm reach optimal netting under regulatory requirements.