Discover how Danske Bank overcame the xVA Challenge
Read how Danske Bank upgraded its entire xVA management system and used ActiveViam to provide faster, more precise analytics:
Financial industry participants have to actively manage all facets of derivatives pricing that impact the entire banking portfolio from profit and loss to regulatory capital.
The multidimensionality and non-linear payoff structure of derivatives instruments and the need to manage valuation adjustments or “xVAs” for credit, debt, funding, margin, and impact on capital has generated large volumes of data, which need to be categorized differently on a given day.
Precise calculation of the risks affecting these instruments on a daily, weekly, and monthly basis is key to mapping exact costs to specific portfolios and counterparty netting sets, and solve the xVA challenge.
“ActiveViam came into play when we realized that the number of market data elements and risk sensitivities and the level of granularity we needed represented a volume of data so huge that we couldn’t deal with it in a timely fashion to explain changes in risk and changes in value” said Nicki Rasmussen, Head of the xVA Desk.