How customers use it

  • Timely and Accurate FRTB-CVA regulatory reporting

    Timely and Accurate FRTB-CVA regulatory reporting

    Problem

    The risk team needs to confirm the Front Office XVA sensitivities and/or calculate the XVA sensitivities independently for internal risk management and regulatory reporting purposes.

    Solution

    Alignment between Front Office and Risk Management teams views of risk due to XVA.

  • Need for intra-day calculations of sensitivities

    Need for intra-day calculations of sensitivities

    Problem

    The Front office/XVA desk teams need to manage and hedge risk during market stress as well as understand P&L Drivers.

    Solution

    IBM XVA Sensitivities leverages a number of optimization techniques (Adjoint Automatic Differentiation, Dynamic Compilation) to enable high performance calculations of XVA exposure measures and the sensitivity of these measures to market data.