Overcoming the xVA Challenge

ActiveViam |
December 4, 2020

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.

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