DVA

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.

CVA, DVA & Bank Earnings

Thursday, February 27, 2020

This week’s Learning Curve was written by David Kelly, Director of Credit Products, and Dmitry Pugachevsky, Director of Research, at Quantifi.

Credit value adjustment is the amount subtracted from the mark-to-market (MTM) value of derivative positions to account for the expected loss due to counterparty defaults. CVA is easy to understand in the context of a loan–it is the loan principal less anticipated recovery, times the counterparty’s default probability over the term of the loan. For derivatives, the loan amount is the net MTM value of derivative positions with that counterparty.

Helaba Enhances Enterprise-Wide Derivatives Counterparty Risk Management

Friday, March 31, 2017

Given current market practices around counterparty risk regulation, xVA management, funding and accounting, Helaba, one of the leading German banks, decided it needed to enhance its counterparty risk infrastructure for their OTC derivatives business. To support this initiative the bank wanted to pair their existing risk and core trading infrastructure with a modern, enterprise-wide XVA solution. The ability for senior management to get a comprehensive view of the bank's counterparty risk was one of the key priorities.

Global Asset and Wealth Manager Selects Quantifi for Portfolio Management

Friday, March 31, 2017

One of the largest asset and wealth managers in the world was looking for a single front-to-administrator solution for trading and risk management to address growth, market changes, and regulatory requirements including MiFID, EMIR, and Dodd-Frank for one of its premier funds. After a 5 month review of alternative internal and external solutions, Quantifi proved to be the clear leader, as it offered all the functionality best matching the client’s stringent requirements.