CompatibL Risk

An advanced software platform for XVA, capital, initial margin and regulatory calculations, using a choice of CompatibL engine, in-house or external analytics.

Regulatory and fair value measures

  • All major regulatory calculations within Basel II and Basel III, SA-CCR, FRTB.
  • All major types of XVA including CVA/DVA/FVA, KVA, COLLVA.
  • 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.

Quantitative Features

  • Dynamic model calibration – a flexible framework to tune calibration of IR/FX/Commodity/Inflation/Equity/Credit models 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 contributors.

Collateral modelling

  • 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.

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.

Application architecture

  • Management of complex trade, market and reference data.
  • Flexible integration layer.
  • Parallel computing: running user-defined calculations on a parallel cluster, cloud, or remote server. For desktop installation, utilise all cores of a local desktop.