White paper
Why CVA sensitivities were unaffordable, and what changed
For quants and capital teams: the arithmetic that made CVA sensitivities a project rather than a run, what changed, and the four things a bank can do once full sensitivities are routine.
White paper, 5 pages, PDF. Sent on request, to a company email.
What it covers
- Under bump-and-revalue the cost of CVA sensitivities grows with every risk factor, so a full set took a night
- An engine built for sensitivities produces the full set at a small multiple of one valuation
- Once sensitivities are a routine output, SA-CVA, hedging and what-if stop being separate projects
