Optimising & Accelerating XVA Performance

The calculation of XVAs is highly complex. 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. 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.

A number of factors influence the speed of XVA computations, including the size of the portfolio, the amount of market data, and the configuration of the Monte Carlo simulations themselves.

Find out how Quantifi has accelerated the performance of these large scale workloads by leveraging Intel’s latest hardware.

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

Speakers

  • Rama Krishna Nagamalla, Senior Software Developer, Quantifi
  • Mahesh Bhat, Principal Engineer, Intel Corporation

insights

Innovative thinking

Whitepapers

How to Accelerate XVA Performance

As banks look to reduce, mitigate, and optimize XVA and other capital charges, they are making investment in XVA capabilities in an attempt to solve the computational challenge of simulating a full universe of risk factors.

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Accelerating the Performance of Large-scale XVA Workloads
Blog

Accelerating the Performance of Large-scale XVA Workloads

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

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News

Quantifi & EY Seminar Reveals Challenges and Benefits of XVA

Quantifi hosted a joint seminar with EY in Frankfurt. Senior practitioners from leading financial institutions, regulators and other market participants gathered for a compelling evening of unique insights and discussion on XVA (CVA, DVA, FVA).

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