GFI Market Data and Vector Risk have entered in to an agreement whereby GFI will supply the Vector Risk cloud solution with market data on credit derivatives, bonds, interest rate options and FX options.
These OTC datasets have been added to Vector Risk in order to better calculate up-to-date and accurate risk measures across a range of financial instruments covering the yield curve – for both on and off balance sheet credit exposures.
Richard Brunt, global head of market data at GFI says, "In the current regulatory environment we have seen a significant rise in the demand for high quality OTC data for use in Credit Value Adjustment and other risk management metrics.”
Justin Taylor, managing director of Vector Risk, adds, “Access to quality credit spread and hard to find option volatility data will greatly improve the service for our clients.”
Vector Risk is an Australian company that provides software solutions and risk advisory services in the trading risk management space. Its risk system calculates market and credit risk exposures in real-time and has been implemented as the engine behind credit limit monitoring, collateral stress testing, market VAR and stress, and CVA.