Accuracy and transparency
Gresham’s cloud-based market data management solution offers a comprehensive and accurate system for portfolio Net Asset Value (NAV) creation and Independent Price Verification (IPV) of trading books, funds, or collateral.
Price comparison
Independent price verification includes comparing front office prices to externally sourced prices, investigating anomalies, and tracking data lineage. It typically involves using a vendor, exchange, or market maker source, pricing hierarchies and business rules to flag implausible movements or other anomalies.
Valuation adjustments
Fair value prices can be adjusted to come to an 'all-in costing' or prudent valuation. These adjustments include reflecting the credit risk of the counterparty, the funding costs, and liquidity. It can involve gauging liquidity to confidence intervals on exit price and, for example, using corporate bond and CDS data for counterparty credit risk.
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