Many hedge funds and asset managers face a common challenge: aligning desk-level pricing models with enterprise risk reporting. Issuer curve calibration sits at the center of this alignment, determining how credit spreads, DV01s, and CS01s aggregate from individual instruments to issuer-level exposures.

Traditional commodity focused systems are built to calibrate curves in isolation, they focus on matching futures quotes accurately within each market’s conventions. This works well for standalone commodity books. Today, however, portfolios increasingly span commodities, rates, credit, and FX.

In this paper, we explore the overlap between PFE and CVA (the core of XVA), review the Basel Committee’s consultative and final documents, and assess whether banks should, and ultimately will, move toward a single unified system for calculating both PFE and XVA.

A next-generation risk system must provide automation, flexibility, and real-time data to empower both credit analysts and risk managers. Use this in-depth checklist to make sure you’re getting the most out of your search for a new risk system.

This whitepaper, written by Quantifi and Alba Partners, examines effective crisis management and highlights the importance of investing in resilient systems and reliable analytics.