Rethinking XVA sensitivities – Making them universally achievable

Content provided by IBM

Rethinking XVA sensitivities – Making them universally achievable

With derivatives pricing becoming increasingly complex, a host of new trade valuation adjustments – collectively known as XVAs – have emerged, and regulatory developments have driven demand for calculation of XVA sensitivities. IBM discusses XVA calculation techniques that can accelerate performance and give banks an advantage over competitors, and the benefits of calculating XVAs using adjoint automatic differentiation over the ‘bump-and-run’ technique.

 

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