Benchmarks
Every model validated against reference implementations. Every timing is a complete run on a typical configuration, not an extrapolation.
Every model is validated against reference implementations on the same market data: MTM, exposure profiles, CVA, DVA, FVA and MVA, initial margin under ISDA SIMM, and SA-CVA sensitivities. The validation note is available on request. Differences are reported in basis points with the tolerance and the explanation of any residual.
The runs can be repeated on your own book in your tenancy.
| Run | Norma | Note |
|---|---|---|
| XVA impact of a new trade, with Greeks | < 1 s | Incremental CVA, DVA, FVA and KVA on the netting set, with full sensitivities |
| full XVA run with full sensitivities, 1M-trade portfolio | < 1 min | Every XVA, the exposures, a million first-order sensitivities and hundreds of thousands of second-order, from one run; no overnight batch |
| re-aggregate tens of millions of transactions | Real time | Any desk, dimension or filter, on demand, on a typical configuration |
The validation note, with the model validation results and the measured timings, is available on request. Or re-run it on your own book.
Request the validation note