Rethinking XVA sensitivities: Making them universally achievable

Rethinking XVA sensitivities: Making them universally achievable

With derivatives pricing becoming increasingly complex, a host of new trade valuation adjustments – collectively known as XVA's – have emerged, and regulatory developments have driven demand for calculation of XVA sensitivities.

In addition, the Basel Committee on Banking Supervision’s finalised regulation of the Basel III capital framework, which will allow banks to avoid a more punitive regime, is based on the calculation of CVA sensitivities. This makes calculating XVA sensitivities accurately and swiftly one of the main challenges banks face.

This white paper explores XVA calculation techniques that can accelerate performance and give banks an advantage over competitors. It further explores the benefits of calculating XVA’s using adjoint automatic differentiation over the ‘bump and run’ technique.


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