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SocGen signs up Algorithmics to build new CVA model
Thursday, October 6, 2011
Algorithmics has announced that Societe Generale has hired it to develop a counterparty credit valuation adjustment model that the bank’s CVA desk will use to price and manage its counterparty risk. CVA desks are responsible for managing the counterparty credit risk that arises from banks' derivative contracts across a range of asset classes.
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Structured
Issuers
CFlux secondary
CLO index levels:
| Index | 21 May |
|
| CFlux USD AAA | ↑ | 96.2 |
| CFlux USD AA | ↑ |
88.3 |
| CFlux USD A | ↓ | 84.1 |
| CFlux USD BBB | ↓ | 75.3 |
| CFlux USD BB | ↓ |
74.1 |
| CFlux USD EQ | ↑ | 77.5 |
