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MoCaX Intelligence

MoCaX Intelligence

MoCaX Intelligence is a new-to-the-market algorithm that accelerates existing Risk Engines without the need for complex systems development or expensive hardware upgrades. MoCaX removes the pricing step bottle-neck that often uses over 90% of computational effort in existing engines and increases capabilities by several orders of magnitude with no loss of accuracy.

MoCaX builds on the new Algorithmic Pricer Acceleration (APA) and Algorithmic Greeks Acceleration (AGA) methods. APA synthesises your existing pricers and creates an accelerated version of them. Even your very slowest and complex pricer, passed through MoCaX, will return the same results (down to 10-15 precision) ultra-fast (up to a few nanoseconds). For example, this enables highly accurate Monte Carlo within Monte Carlo in an instant.

AGA is a further enhancement, creating also an ultra-accurate, ultra-fast function of the Greeks of your pricers, even when you do not have an expression for them. This enables for example exact MVA and MVA sensitivity calculations.

APA and AGA work for any pricing function: analytical, tree or MC based; and with any asset class.

With one million accurate Price or Greek values in a few milliseconds, MoCaX delivers:

  • massive acceleration of your current simulations
  • previously-impossible simulations, e.g. accurate and ultra-fast MVA via real Dynamic SIMM
  • potential for trades that had been too slow to simulate, e.g. non-linear products, barriers, bermudans
  • enhanced regulatory approval, because MoCaX delivers perfect pricing and widens IMM product scope

MoCaX Intelligence: the next step forward.

Please ask for a free version of MoCaX so you can test it for yourself.

mocaxintelligence.com – i.ruiz@iruiztechnologies.com

TriOptima

TriOptima provides risk management services for OTC derivatives, reducing costs and eliminating operational and credit risk through a range of services.

triResolve for proactive reconciliation of OTC derivative portfolios, repository validation and dispute resolution

triReduce for multilateral portfolio compression services across OTC product types

triBalance for rebalancing counterparty risk exposure between multiple CCPs and bilateral relationships

triCalculate for the complete spectrum of counterparty credit risk analytics leveraging state-of-the-art massively parallel computing devices

TriOptima maintains offices in London, New York, Singapore, Stockholm, and Tokyo.

www.trioptima.com