How to Accelerate 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

Navigate major trends & developments shaping the industry

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.

Blog

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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 […]

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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