The valuation of financial instruments has become very complex. The market value now needs to include several Valuation Adjustments, which are often refered to as xVA. The implementation of own valuation models is often not possible for many institutions.
Economic Scenario Generator
The calculation of xVA uses the Economic Scenario Generator as basic building block. The valuation of financial instruments are based on these future market data states.
The valuation can happen for all products as long as their underlying risk factors are contained in the Economic Scenario Generator. All trades will be represented as scripts, and the plain vanilla products will have templates which are easy to generate.
American Monte Carlo
The valuation follows the American Monte Carlo technique by applying the Longstaff-Schwartz algorithm. This makes the valuation engine capable of making valuations of even complex pay-off structures.
xva.cloud delivers the often used results as simple formulas. This means that current exposure expected exposure, percentile exposure, CVA, DVA and other adjustments is easily extracted from the calulations.
Both input and output can be handled inside Microsoft Excel. The client therefore just need to open an Excel sheet provided by xva.cloud as well as login details. This makes the time to market very low.