XVA calculation product of the year: Numerix

XVA calculation product of the year: Numerix

Numerix has won the XVA calculation product of the year award at the 2023 Risk Markets Technology Awards. The award recognises Oneview for XVA as a market-leading valuation adjustment (XVA) product.

Regulation has been a driving force behind continued development in XVA, and was key to Numerix’s decision to develop its innovative credit valuation adjustment (CVA) solution. 

Since its launch, the regulatory, market and competitive landscape for trading over-the-counter derivatives has shifted dramatically, leading to strong, persistent demand for XVA implementations worldwide. XVA desks have become a strategic partner for the front office, risk departments, and treasury and finance teams.

In the current market, banks need to understand the correct amount of credit, funding and capital costs to pass on to counterparties pre-trade. A strong XVA team with an advanced, sophisticated system enables banks to stay competitive. Numerix has made significant enhancements to its XVA solution over the years to ensure clients can price and manage new risks embedded in their books. The solution began with CVA/debit valuation adjustment 10 years ago and has evolved to include collateral valuation adjustment and funding charges such as funding valuation adjustment and funding benefit adjustment. As regulations have continued to evolve, capital valuation adjustment capabilities were added to address the need to price regulatory costs.

Oneview for XVA – a module of Numerix’s front-to-risk Oneview offering – is built on Numerix’s quantitative research in the XVA field. The system is powered by cutting-edge derivatives pricing and risk models. It enables calculation of derivatives prices, risk sensitivities, XVAs, market risk, counterparty risk, regulatory capital and other metrics so firms have a unified and comprehensive view of their businesses. Numerix has introduced several enhancements to significantly reduce computational costs and data management needs for clients. On the quantitative side, adjoint algorithmic differentiation (AAD) helps speed up its XVA calculation performance and reduce the burden of calculating XVA Greeks. It has also incorporated several cloud-native computational and data management technologies to enhance the scalability, modularity, performance, resilience and adaptability of Oneview for XVA.

Numerix differentiates itself from other vendors by putting sophisticated analytics at the core of its clients’ XVA desks and enabling banks to confidently manage counterparty risk exposures, integrate XVAs into deal prices and execute even the most complex deals at the right price. With award-winning analytics, innovative technology and a commitment to research and development (R&D), Numerix has established itself as a leading independent provider of XVA analytics at a global level.

Oneview for XVA is a comprehensive, multi-dimensional system designed to meet the needs of the industry and stay ahead of the latest developments in XVA.

Judges said:

  • “A strong front-office oriented view of XVA.”  
  • “Well-placed focus on speed (AAD) and cloud.” 
  • “Good to see references to major geopolitical and market risk events as catalysts for renewed focus on banks’ XVA desks.”

Satyam Kancharla, executive vice-president and chief product officer at Numerix, says:

Satyam Kancharla, Numerix

“We are extremely honoured to win this XVA award. It validates the significant R&D and hard work we’ve invested in Oneview for XVA over the last decade, and we will continue pushing the boundaries of XVA quantitative research and technology advancements to keep giving clients an edge in the market.”

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