calculation complexity

Accelerating the Performance of Large-scale XVA Workloads

Wednesday, February 24, 2021

In the post-crisis world, an increasing number of banks have set up a centralized XVA desk. With the introduction of new regulations to ensure banks are adequately capitalized, it has become common practice to include certain costs in the pricing of OTC derivatives that, in many cases, had previously been ignored. To assist in the pricing for the cost of dealing with a counterparty in a derivative transaction, the markets have developed various metrics including CVA, DVA, FVA, ColVA, KVA, and MVA—collectively known as XVAs. Read More