CVA

How to Accelerate XVA Performance

Friday, March 19, 2021
You're in! We've saved a space for you at the 'How to Accelerate XVA Performance' webinar on Wednesday 21st April. We will send you a link to join the webinar prior to the event.
 
Date & Time:
21st April, 2021
3pm BST / 4pm CET / 10am EST
 
Agenda:
  • The need for faster XVA calculations
  • Factors influencing the speed of XVA computations
  • How to accelerate the performance of large XVA workloads
  • Test results: how Quantifi has accelerated performance with Intel
  • Q&A
... read more

How to Accelerate XVA Performance

Monday, October 26, 2020

by Quantifi & Intel

One of the key challenges of XVAs is that adjustments need to be calculated on a portfolio basis rather than trade-by-trade. This requires dealing with a large number of computations and orders of magnitude more calculations for accurate results. The calculation of XVAs is highly complex, combining the intricacies of derivative pricing with the computational challenges of simulating a full universe of risk factors. Given the strategic importance of XVA, banks require enhanced capabilities and modern infrastructures to calculate the required credit, funding, and capital adjustments. As banks look to reduce, mitigate, and optimize XVA and other capital charges, they are investing in XVA capabilities in an attempt to solve the computational challenge of simulating a full universe of risk factors.

Quantifi Wins Best Sell-Side Credit Risk Product at WatersTechnology Awards 2020

Wednesday, July 15, 2020

Quantifi has been named Best Sell-Side Credit Risk Product at the WatersTechnology 2020 Sell-Side Technology Awards. These awards recognise market-leading technologies developed specifically for sell-side firms. Whilst credit risk has always been of primary concern for banks, its importance became paramount during the credit crisis. More recently, the COVID-19 pandemic has again highlighted the importance of accurate valuation and robust management of credit risk.  read more

Managing Counterparty Risk & Basel III: Quantifi & EY Survey

Thursday, February 27, 2020

In this article, Dmitry Pugachevsky, Director of Research, analyses the results of this survey and discusses whether banks are ready for counterparty risk elements of Basel lll. Basel III significantly changes the way in which financial institutions address counterparty credit risk (CCR) and credit value adjustment (CVA). Enhancing counterparty credit risk management practices is a key focus for banks. This is in response to changes in accounting rules and new prudential and market regulations, which have tightened substantially following the financial crisis. Collectively, these changes are having a deep impact on the market and the way banks price and manage the risk associated with derivatives. 

Alternative Methods For Calculating CVA Capital Charges Under Basel III

Thursday, February 27, 2020

The global financial crisis brought counterparty credit risk and credit value adjustment (CVA) very much into the spotlight. The Basel III proposals first published in December 2009 introduced changes to the Basel II rules including a new capital charge against the volatility of CVA. As the Basel committee noted, two thirds of the counterparty risk related losses during the credit crisis were actually from CVA volatility rather than defaults. Not surprisingly then, the new CVA ‘VaR capital charge is quite punitive and worthy of focus.

How the Credit Crisis has Changed Counterparty Risk Management

Thursday, February 27, 2020

In this article, David Kelly, Director of Credit Products at Quantifi, discusses how the credit crisis and regulatory responses have forced banks to update their counterparty risk management processes substantially. New regulations in the form of Basel III, the Dodd-Frank Act in the U.S. and European Market Infrastructure Regulation (EMIR) have dramatically increased capital requirements for counterparty credit risk. CVA desks have been developed in response to crisis-driven regulations for improved counterparty risk management. How do these centralized groups differ from traditional approaches to manage counterparty risk, and what types of data and analytical challenges do they face?

Implementing a Counterparty Risk Management Process

Thursday, February 27, 2020

Quantifi explores the key challenges for banks in the implementation of counterparty risk management, focusing on data, technology and operational issues in the context of current trends and best practices.

Most banks are in the process of setting up counterparty risk management processes or improving existing ones. Unlike market risk, which can be effectively managed by individual trading desks or traders, counterparty risk is increasingly being priced and managed by a central credit value adjustments (CVA) desk or risk control group since the exposure tends to span multiple asset classes and business lines. Moreover, aggregated counterparty exposure may be significantly impacted by collateral and cross-product netting agreements. 

Taking the CVA route to valuing CLNs

Thursday, February 27, 2020

Credit-linked notes can't be said to have risk-free collateral any more. In this article Dmitry Pugachevsky, Director of Research, Quantifi, suggests pricing them using techniques developed for bank counterparty risk.

One of the challenges in investing in credit linked notes (CLN) is the shortage of high quality debt for funding. This article explores a new type of trade - CLNs with risky collateral. It highlights that by taking into account all possible risk, including uncertainty of market value at early redemption, one can calculate values and sensitivities of such products, and trade them consistently as traditional CLNs.