XVA and other Regulatory Calculations (FRTB, SIMM, etc.)

An area where CRZ Pricing has a tremendous competitive advantage vis-a-vis most vendors and in-house systems is regulatory calculations.

Thanks to our exceptional performances, the cross asset nature of our product and the sophistication of our pricing models, we can compute all the relevant regulatory measures very precisely and most efficiently. This guarantees:

• significant cost savings on the hardware and infrastructure needed to run those calculations

• much more precise risk measures, thanks to the ability to compute exact derivatives and marginal allocations via the auto-differentiation numerical method we have implemented.

For instance, let's focus on xVA to make an example of how powerful our tool is.

Can your system show you this level of detail on your xVA risks and position?

Here is what we can do: for this exercise, we have built a simulation portfolio with some 12500 Interest Swaps of various nature in it.

This is what its basic risk matrix look like:

On this portfolio, we ran the standard xVA exposures:

To get the different XVA measures:

And most importantly, PnL sensitivities to each of the relevant risk factors.

Here is a summary view:

It is then possible to drill down (by simply double-clicking on any cell) on any of the above numbers, to have precise details on the actual exposure and the tenors.

Some examples:

Drill down on Counterparty Risk for MIDLGB22: hedge in notional and per tenor:

Drill down on EUR Volatility risk exposure – granular detail:

Drill down on EUROIS risk exposure projected on chosen tenor pillars, expressed in notional risk to hedge:

Or the same projected on forward tenors:

If you have never seen such level of detail, contact us for a demo on your portfolio!