NxCore for XVA: An Advanced XVA Engine & Quant Sandbox
Learn how Numerix’s NxCore product, a cloud-native development platform, can be used for high performance XVA calculations and quantitative sandboxing.
The timely computation and reporting of the various valuation adjustments (XVAs) for OTC derivatives is essential for traders, XVA desks, quants, and risk managers. It requires the forward simulation of multiple risk factors, a high degree of flexibility, and extended scalability and performance.
In this webinar, Brian demos the latest XVA-focused enhancements to Numerix's NxCore product. NxCore is a cloud-based development platform leveraging Numerix’s award-winning pricing and risk analytics, the strength of the Python ecosystem, and the power of the cloud.
Register for our on-demand solution webinar to learn more about this product’s cutting edge XVA functionality, and how its sandbox capabilities can provide a wide variety of benefits to clients.
During this webinar, Brian performs a demo of NxCore with several XVA use cases, where he:
- Calculates XVA and PFE for a demo portfolio
- Checks calibration parameters and model distributions
- Explores different model choices and measure the impact on XVA results
- Conducts convergence tests
- Performs XVA stress testing
Featured Speakers
Brian Li
Brian Li is Vice President of Financial Engineering at Numerix, focusing on the Oneview for XVA product. Mr. Li previously served as the Vice President of Financial Validation Engineering in the Quality Assurance group at Numerix. He holds an MSc degree in Quantitative Finance from Fordham University, and a BSc degree in Economics from Shanghai Jiaotong University.
Udi Sela
Udi Sela has been active in foreign exchange derivatives markets for over 25 years. As a senior derivatives trader and trading manager at Citibank and JPMorgan, he developed expertise in derivatives spanning both vanilla and complex FX options. After his trading career, he has led product development, pre-sales and business development functions within a range of financial software vendors. Mr. Sela is currently responsible for product and field marketing at Numerix.
