Case study
Centralised XVA in near real time
For XVA desks and trading technology: one XVA calculation for pricing, hedging and risk, in near real time, replacing the overnight batch and the three sets of numbers that come with it.
Case study, 4 pages, PDF. Sent on request, to a company email.
What it covers
- Traders see the credit, funding and capital components of a quote inside their own screens
- The XVA desk hedges against the run that priced the book, not yesterday's sensitivities
- Risk sees limits and capital as positions change; pricing, hedging and risk reconcile by construction
