overview

Real-time Counterparty Exposure Measures and XVA Adjustments for Trading, Counterparty Risk Management and Regulatory Compliance

Whether seeking to meet regulatory requirements, hedging or actively trading your XVA positions, Numerix Oneview XVA provides an award-winning, complete, real-time solution for managing XVA pricing adjustments and their impact on counterparty risk, collateral and profitability across the institution.

Underpinned by our market tested cross-asset analytic library, Oneview XVA gives users the ability to calculate, analyze and limit exposures across business units and minimize capital charges for Basel III and SA-CCR compliance, with fast and accurate PFE, CVA/DVA, KVA, COLVA and FVA calculations, using an accelerated Monte Carlo simulation engine.

Oneview XVA lives on the Numerix Oneview Enterprise Platform, the next generation pricing, risk, analysis and trade management platform designed for the next evolution of the capital markets. Applications like Oneview XVA are the building blocks of this dynamic platform, allowing enterprises to customize the framework to meet their business needs.

capabilities

Counterparty Risk and XVAs

 

Calculate counterparty risk measures—CVA/DVA, PFE, EE, EPE, ENE, along with COLVA, FVA and other XVA pricing adjustments

Capital Calculations   SA-CCR and CVA capital calculation plus KVA arising from capital costs over the lifetime of the trade

Analyze “What If” Trades

 

Determine the incremental XVA of performing a trade with different counterparties

Monitor Exposure Limits of Traders

 

Check limit utilization and send alerts when limits are approached or breached

Real-Time Analysis

 

“Slice and dice” calculation results in real-time to create custom reports and graphically visualize the results

Collateral Management

 

Determine collateral values and initial margin requirements, to optimize collateral usage

Regulatory Compliance

 

Comply with accounting and regulatory requirements, including Basel II & Basel III, Dodd-Frank, EMIR, SA-CCR

Active Risk Management

 

Trade and hedge XVAs

Break Clause Handling   Calculate and analyze the marginal impact of exercising break clauses at the portfolio level
Benefits & Features
  • Real-time results for fast trading and risk decisions
    Obtain real time pre-trade risk-adjusted prices and create “what-if” trades with incremental XVAs, so you can execute only profitable trades and choose the best counterparty to trade with.  Dynamically slice & dice calculation results to create customized reports for better decision-making. All backed by the true real-time performance of the Numerix Oneview Graph - the glue that enables true real-time event-driven performance of the Numerix Oneview calculation framework, Learn more.

  • Optimized counterparty choices and reduced counterparty risk

    Oneview XVA’s pre-trade decision support tools assist with counterparty choices, while exposure limit monitoring and alerts help risk managers control counterparty concentrations.  For banks who trade XVAs, XVA sensitivities allow for dynamic hedging. Oneview XVA also offers vital insight into capital impacts of each trade, including fast, accurate SA-CCR and CVA capital calculations and the KVA arising from capital costs over the lifetime of the trade. And quickly asses the impact of break clauses on CSAs with fast, easily recalculation of XVAs to reflect these variables for greater accuracy.

  • Adapt to changes in the market and regulations

    Collateral scripting helps users deal with complex new CSAs, while XVA scripting enables the customization of XVA measures so users can include new XVAs in trade prices as markets or regulators demand them. In-memory pivot tables for interactive slicing & dicing of results and one-click drill down into results to trade-level detail give you the transparency and flexibility needed to meet market and regulatory demands.

  • Fast time-to-market for new trade types
    Handle any trade type, existing or imagined, so your firm can capture market opportunities faster than competitors while measuring and managing the risk of the new deal types.
Case studies
HDFC Bank Market Risk Case Study
ppb Deutsche Pfandbriefbank XVA/CVA Case Study
Yuanta Financial Holdings Market Risk Case Study
Additional Resources
Press Release
Numerix Honored in 2017 RiskTech100® Awards
Press Release
Numerix XVA Unveiled
Product Collateral
Numerix Oneview XVA Fact Sheet
News - Article PDF
Structured Products Europe Awards 2016 | Pricing and Analytics Platform of the Year
Analyst Report
XVA and RIsk Transformation: Establishing the Data Fundamentals
On-Demand Webinar
CVA Greeks:Their Importance, Common Calculation Methodologies, & Testing for...
Info Graphic
XVAs Defined: The Profitability Puzzle
Research & Insights
Understanding XVAs | Numerix Research & Insights

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