Numerix Tackles Trade Profitability with XVA Stack

Underpinned by Numerix's CrossAsset Server models, Numerix XVA offers a range of counterparty credit risk measures including credit, debt, and funding valuation adjustments (CVA, DVA, and FVA) as well as potential future exposure (PFE), and expected positive and negative exposures (EPE and ENE).

Funding costs and capital calculations, including regulatory capital, CVA capital charges, cost of capital (KVA) and capital forecasting simulations can also be determined and leveraged to optimize capital usage, increase return on capital, and lower collateral costs.

“Numerix XVA can be used as part of a trade profitability framework that enables users to attribute portfolio-level risk, margin and capital analytics back to the trade. By getting the all-in profitability of the trade and observing all of the cost components, customers are empowered to make the most informed decision with respect to trading or risk managing derivatives," says Satyam Kancharla, SVP and chief strategy officer at Numerix.

The firm's expanding valuation adjustment framework was cited earlier this year as a central component in Numerix CrossAsset's Sell-Side Technology Best Credit Risk Product award.