Credit Value Adjustment (CVA)
CompatibL developed a credit risk management application for one of the largest US banks including:
- Potential future exposure (PFE) and credit value adjustment (CVA) calculation for a portfolio of interest rate swaps and derivatives
- Batch process for Monte Carlo simulation of credit risk, including risk analytics
- Rich client application for analysis and drilldown of the calculation results
- Integration of calculation results with the in-house credit limits tool
- Incremental credit risk calculations for intraday position updates