CompatibL XVA Platform & Analytics
CompatibL Risk offers turnkey solutions for XVA and regulatory capital as well as full support, implementation and customisation services by experienced XVA quants and development teams.
In a similar vein, CompatibL's consultancy teams look beyond the delivery of the requisite report
and bring practical enhancement to the clients operation, where feasible incorporating the delivery of working code with source.
Regulatory and Fair Value Measures
All major regulatory calculations within Basel II and Basel III, SA-CCR and FRTB-CVA.
P&L predict and explain reports - advanced predict reporting to calculate PnL
expectations based on T-1 scenario results using
real time market data feed.
All major types of XVA including CVA, DVA, FVA, KVA, MVA and COLLVA.
CSA modelling - advanced features to model the change of collateral through time, including dynamic initial margin.
Classical or advanced (Andersen-Pykhtin-Sokol) model for the margin period of risk.
Quantification of trade and margin flow settlement risk as part of the overall counterparty credit risk.
Dynamic model calibration - flexible framework for IR / FX / Commodity / Inflation / Equity / Credit model calibration based on trade attributes.
Real world (capital, limits) and risk neutral (XVA) modelling combined with the choice of full repricing or AMC valuation for IR, FX, Commodity, Inflation, Credit, Equity and other asset classes including exotics.
Governance reporting to verify calculation input including trade data, market data, front office MtM reconciliation, XVA
Management of complex trade, market and reference data.
Parallel computing: running user-defined calculations on a parallel cluster, cloud or remote server. For desktop installation, utilises all cores of a local desktop.
Advanced Technology Platform
Support for adjoint algorithmic differentiation (AAD) using TapeLib, CompatibL's C++ library for AAD in quant finance.
As part of the application interface, users can automate any workflow step, including data loading, simulation, pre- and post-processing, by creating scripts (e.g. batch, Python bindings) or accessing it via external API including C++, C#, Java, and Python.
"The CompatibL development team has demonstrated extraordinary commitment, skill and flexibility, and it has been a pleasure
for us to do the project and go live with this excellent XVA platform."
"As well as delivering a robust and flexible XVA / Capital platform, CompatibL has provided excellent implementation and
support. The CompatibL and RMB teams synchronise their daily work seamlessly and
we are very pleased to have the CompatibL XVA platform as an integral part of the
bank`s Trading and Risk activities."
"The CompatibL Platform is very flexible and easily customizable to our needs. CompatibL has consistently provided us with
excellent support and new quantitative solutions for our XVA challenges across pricing
and risk management and we view our relationship with CompatibL as much more than
just with a software and solutions provider."