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Numerix XVA provides the award winning, cross-asset class analytics you need to manage your counterparty risk across the institution, whether seeking to meet Basel II and III or other regulatory requirements, hedging or actively trading your CVA positions.

Numerix XVA gives users the ability to calculate, analyze and limit exposures across business units and minimize capital charges for Basel III compliance, with fast and accurate PFE, CVA/DVA and FVA calculations, using an accelerated Monte Carlo simulation engine. Calculate real-time CVA/DVA and understand the incremental risk of new trades, so you can optimize counterparty choices, maximize profitability, and reduce counterparty risk.


Counterparty Risk
and XVAs


Calculate counterparty risk measures—CVA/DVA, PFE, EE, EPE, ENE – plus FVA and other XVA pricing adjustments

Analyze “What If” Trades


Determine the incremental CVA of performing a trade with different counterparties

Monitor Exposure Limits of Traders


Check limit utilization and send alerts when limits are approached or breached

Real-Time Analysis


“Slice and dice” calculation results in real-time to create custom reports and graphically visualize the results

Collateral Management


Determine collateral values and initial margin requirements, to optimize collateral usage

Regulatory Compliance


Comply with accounting and regulatory requirements, including Basel II & Basel III, Dodd-Frank, EMIR

Active Risk Management


Trade and hedge CVA

Benefits & Features
  • Real-time results for fast trading and risk decisions
    Obtain pre-trade risk-adjusted prices and create “what-if” trades with incremental CVA/DVA, so you can execute only profitable trades and choose the best counterparty to trade with.  Dynamically slice & dice calculation results to create customized reports for better decision-making.

  • Optimized counterparty choices and reduced counterparty risk

    Numerix XVA’s pre-trade decision support tools assist with counterparty choices, while exposure limit monitoring and alerts help risk managers control counterparty concentrations.  For banks who trade CVA, CVA sensitivities allow for dynamic hedging.

  • Adapt to changes in the market and regulations

    Collateral scripting helps users deal with complex new CSAs, while XVA scripting enables the customization of XVA measures so users can include new XVAs in trade prices as markets or regulators demand them.

  • Fast time-to-market for new trade types
    Handle any trade type, existing or imagined, so your firm can capture market opportunities faster than competitors while measuring and managing the risk of the new deal types.

At Numerix, we believe that clients’ needs are best served when the systems and services they use work well together. Through the Numerix partner network, clients have access to comprehensive front-to-back solutions built on Numerix’s industry-leading pricing and risk analytics.

Case studies
HDFC Bank Market Risk Case Study
ppb Deutsche Pfandbriefbank XVA/CVA Case Study
Yuanta Financial Holdings Market Risk Case Study
Additional Resources
Written Blog
Best Practices for a Successful XVA Implementation
Written Blog
Trend Talk: XVA Pricing & Risk Calculations in the Front-Office Trading...
Press Release
Numerix Voted #1 in 2014 Risk Technology Rankings
Event Recording
XVA Master Class Virtual Seminar Video Series