XplainXVA enables the full replication of netting sets with customisable survival probability curves, funding spreads and loss given default (LGD) assumptions, allowing for preferred / approved XVA calculation methodology.
Developed by renowned quants and XVA experts, Xplain’s proprietary and optimised algorithm delivers robust and fast XVA calculations.
You can generate CVA, DVA, FCA and FBA from your perspective or from your counterparts’ perspective (bank’s goggles approach), as well as simulate potential future exposure (PFE).
The steps required to perform XVA calculations are as follows:
- define the required additional market data such as correlation matrices, counterparty credit curves and underlying volatility surfaces (e.g. rates and FX).
- define the XVA model parameters.
