XVA calculations are very computationally intensive. With a limited number of in-house servers and caps on Cloud resource budgets, compute power typically is not available for all the risk calculations needed by the XVA Desk. The standard solution has been to perform calculations at lower levels of resolution – for example, by running fewer Monte Carlo scenarios – in order to reduce the computational requirements … which means that the XVA Desk has to suffer with noisy P/L and sensitivities that are not stable.
But it doesn’t have to be this way.
Riskfuel can speed up the performance of your in-house models a million-fold by utilizing deep neural network (DNN) technology. Riskfuel takes your monster of a model and converts it into a computationally light analytical representation. Now you can turn up the accuracy of your in-house models and let Riskfuel take care of speeding them up. You can get high resolution risk calculations and all the sensitivities that you want, with significant reductions in compute costs. With super-fast valuations and risk sensitivities, you can compute cross‑gammas on demand, do quick stress-test scenarios, and perform what-if scenarios to price trades accurately and then to effectively manage them post‑trade.
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What Do You Get with Riskfuel?