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.

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.

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.

Quantitative Features

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 contributors.

Application Architecture

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.