XVA

► Compute portfolio and marginal XVAs including CVA, DVA, FVA or LVA and related sensitivity factors.
► Includes up to date pricing models, credit agreement features, and bank funding assumptions within an advanced diffusion framework.
► Parametrised for a plug-and-play usage and standardised calculations, together with capacity to control key parameters.

CSA Management

► Support for what-if trades, unwinding/novation scenarios or CSA terms changes scenarios.
► Provides XVA optimization tool, by simulation of full or partial transfers.
► Ability to integrate in near-real time pending trades from multiple trading systems and measure incremental XVA impacts

Market Risk

Greeks and Stress Scenarios: Sensitivity of portfolio to all risk factors (rates, vols, fx, etc) presented within a flexible pivot grid for on-the-fly aggregation according to various axes: Products, Books, Currencies, etc.
VaR/Expected Shortfall: short-term to long-term Market VaR calculations based on multi-dimensional simulations with parametrisable diffusion models.

IPV

► Independent pricing and risk verification for a broad range of derivatives products.
► Provides up-to-date pricing models typically used by trading desks in Investment Banks.
► Properly accounts for various model effects such as volatility smile, basis spreads, dual-curve modelling, CMS convexity through replication, etc.

Credit Risk

► Full credit exposure calculation (EPE, ENE, PFE) accounting for various credit agreements features (Netting, CSAs).
► Based on a multi-dimensional simulation of market data and credit risk.