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XPLAINXVA

DERIVATIVES VALUATION ADJUSTMENT PRICING ENGINE

A powerful and bespoke framework for counterparty XVA calculations.

 

 

 

XPLAINTRS

TRS ACCOUNTING ACCRUAL CALCULATION ENGINE

A robust and flexible accrual pricing platform for total return swaps, with bespoke user functionalities.

Objective

 

XPLAINXVA SOLUTION

  • Enables full replication of netting sets with customisable PD/LGD and funding spreads assumptions

  • Allows users to reflect their preferred/approved xVA calculation methodology

  • Generates xVA calculations (CVA, DVA, FCA and FBA) from the user’s or their counterparts perspective

  • Developed by renowned quants and xVA experts, XPLAIN’s proprietary and optimised algorithm delivers robust and fast XVA calculations

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