Optimising calculation of XVA sensitivities

The panel

  • Mathew Dear, Offering manager, IBM
  • Neil Dodgson, Global head, Customer solutions group, IBM
  • Moderator: Joel Clark, Contributing editor, Risk.net

Financial institutions are facing the burdens of both increased regulation and demands for transparency. 

Banks will be required to use the new standardised credit valuation adjustment (CVA) capital approach and will need timely and accurate Fundamental Review of the Trading Book (FRTB)-CVA reporting. 

Key topics discussed include:

  • The challenges of complex calculations such as FRTB-CVA capital 
  • Valuation adjustments sensitivities
  • Margin valuation adjustment and cleared and non-cleared initial margin
  • The benefits of technical innovation and how this can be applied
  • How the adjoint algorithmic differentiation methodology for calculating CVA sensitivities can be accelerated to near real time. 
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