TriOptima adds MVA calculations to XVA service
Three firms have signed up to use the tool, which calculates MVA across 100,000 scenarios
Nex Group is aiming to kick-start the practice of pricing in the cost of funding initial margin on non-cleared derivatives trades with the launch of a margin valuation adjustment (MVA) calculator for dealers and buy-side firms.
Large dealers began working on methodologies for calculating the newest derivatives valuation adjustment (XVA) ahead of the roll-out of the non-cleared margin rules last year – although as yet no single approach has won consensus support. The adjustment has proven to be
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