XVA Solutions

transforming complexity into clarity
The chapel

Services

XVA Analysis

Review and analysis of your XVA and derivatives processes from the perspective of the industry's best practices

  • Calculation of CVA, FVA and MVA amounts and risk sensitivities, including cross gamma, scenario analysis and linear sensitivities
  • Hedging approaches across various hedging instruments
  • P&L explain and analysis to enable quick understanding of P&L drivers and possible hedges
  • Implications of legacy derivatives documentation and approaches for simplification
  • Sense-checking of XVA models (whether in-house or vendor products) with a focus on assessing practicality, usability and performance

Regulation Review

Summaries of new or existing regulatory announcements / papers and how they might relate to your organization

Vendor Review

Testing and comparison analysis of vendor provided solutions across XVA, capital and margin applications

Margin & Capital Analysis

Analysis and suggestions for optimizing initial margin and capital across derivatives exposures