CompatibL's XVA Risk Management software provides a comprehensive solution for calculating and managing various XVA measures, including Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA), Basic CVA (BCVA), Initial Margin (IM), Marginal Value Adjustment (MVA), Funding Adjustment (FCA, FBA, FVA), Collateral Value Adjustment (CollVA), and Capital Valuation Adjustment (KVA), as well as Liquidity Valuation Adjustment (LVA). The platform offers rich drill-down capabilities, allowing users to break down exposure and XVA contributions by portfolio, counterparty, collateral, netting, funding, and initial margin sets. It also provides individual trade exposures and back-allocated analytics to pinpoint risks. The advanced Potential Future Exposure (PFE) engine precisely models the Margin Period of Risk (MPoR), Initial Margin (IM), collateral types, and posting rules, supporting both full revaluation and American Monte Carlo (AMC) methods for exposure simulation. High-performance calculation techniques ensure path-consistent exposure aggregation. CompatibL's XVA platform supports diverse market simulation models for each asset class, a hybrid framework for model correlation, and customizable calibration settings. It also features collateral simulation, allowing users to define collateral types and identify the cheapest options, with a multicurve discounting framework and CSA-aware discounting. The software supports key regulatory frameworks like SA-CVA and BA-CVA, along with related capital requirements such as SA-CCR EAD and RWA. It offers full support for XVA sensitivities, sophisticated stress scenario definition, and PnL attribution. Wrong-Way Risk (WWR) is addressed through simulation of counterparty credit spread as a market risk factor and a unique exposure-sampling methodology. The solution is cloud-deployable and integrates via REST API and SDKs for Python, Java, C++, and .NET, supporting on-premise, private, and public cloud deployments. Built for performance, it enables real-time XVA sensitivities, what-if scenarios, comprehensive analytics, and full asset class coverage, with an API for custom models.

Features & Benefits

• Comprehensive XVA Coverage: Manages CVA, DVA, BCVA, IM, MVA, FCA, FBA, FVA, CollVA, KVA, and LVA measures.
• Advanced Drill-Down Capabilities: Breaks down exposure and XVA contribution by portfolio, counterparty, collateral, netting, funding, and individual trades.
• Potential Future Exposure (PFE) Engine: Precisely models MPoR, IM, collateral, and CSA provisions using full revaluation or AMC methods.
• Market and Collateral Simulation: Offers diverse market simulation models, hybrid frameworks, and customizable collateral posting options.
• Regulatory Framework Support: Supports SA-CVA, BA-CVA, SA-CCR EAD, and RWA calculations.
• Wrong-Way Risk (WWR) Analysis: Includes simulation of credit spread and unique exposure-sampling methodology for accurate WWR measurement.
• Cloud Deployment and Integration: Seamless integration via REST API and SDKs for Python, Java, C++, and .NET, with flexible deployment options.
• Real-time Analytics and Customization: Enables real-time XVA sensitivities, what-if scenarios, and extension with bespoke models via APIs.