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Better Risk Management for the XVA Desk

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.

Try Out Our Demo Pricer

What Do You Get with Riskfuel?


Real Time Valuations and P/L Explain

Value your portfolio using current market conditions and attribute performance according to risk factor

Real Time Risk Sensitivities

Have sensitivities at your fingertips. See how our Bermudan Swaption Demo calculates 150+ greeks instantly

Accuracy with any Valuation Technique

Riskfuel can accelerate models utilizing any valuation technique including Finite Differences and Monte Carlo

Accuracy even under Violently Changing Market Conditions

Riskfuel models have a wide domain of approximation and work under all possible market conditions - not just historic conditions

Extremely Accurate Outputs

Our models are trained and validated against the models you use today, and deliver valuations extremely close to those you get already. Compare model accuracy against Quantlib with our Bermudan Swaption Pricing Demo

Real Time “What If” Scenario Analysis

Our models are fast, so you can ask the questions you have, and get the answers you seek 𝘪𝘯𝘴𝘵𝘢𝘯𝘵𝘭𝘺 throughout the trading day

Accurate Models even for Complex Instruments

Riskfuel will accelerate any model regardless of the complexity. Check out our Bermudan Swaption demo for an example.

Easy Validation Process

The Riskfuel model can be validated simply by running it alongside the in-house model and comparing the results

Easy Deployment

Riskfuel delivers a model that has all the same inputs and outputs as your in-house model. It is easy for IT teams to integrate our Plug 'n Play model into your existing environment