Case study
Full CVA sensitivities, daily, before the SA-CVA decision
For XVA desks and capital teams: CVA sensitivities to every risk factor on the whole book, every day, so the desk hedges CVA instead of watching it, and the SA-CVA application is made on the book's own numbers before the 2027 deadline.
Case study, 5 pages, PDF. Sent on request, to a company email.
What it covers
- Delta, vega, gamma and cross-gamma from the same run that produced the valuation, on a million-trade book in under a minute
- The desk moves from monitoring CVA to hedging it; volatility comes out of prices and out of capital
- The same sensitivities on the regulatory CVA are what SA-CVA is built from, so approach and approval rest on numbers
