banking

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 making an investment in XVA capabilities in an attempt to solve the computational challenge of simulating a full universe of risk factors.

How is Data Science Transforming Banking and Capital Markets?

Tuesday, May 26, 2020

This blog is taken from the Quantifi webinar 'Next Generation Risk Technology Powered by Data Science’. In Part 1, we will explore data science in the context of risk management technology and operations. This blog reflects on how the financial environment, and the broader landscape, has changed over the last decade and the market trends that are driving the rise in data science approaches. Read More