Verasis CVA and DVA

Technical information

Credit Value Adjustment (CVA) is the fair value adjustment to transaction valuation to reflect the counterparty’s credit quality; hence it represents the Counterparty Credit Risk (CCR) in valuation of derivatives.

Estimating CVA using a standard / legacy methodology can be a resource consuming process. For institutions with derivative portfolios it can also be a capital consuming one.

But now your business can benefit from:

  • A single system that will calculate the CVA & DVA for all your counterparties / trades / books and positions
  • CVA and DVA functionality that meets the requirements of the Front Office, the Risk Department and Regulatory Compliance
  • The ability for users to establish CVA concentrations and capacity on a single desk top
  • The ability to perform pre-trade analytics for impact analysis to isolate potential risk reducing and trading limit breaches
  • A CVA/DVA solution that works along-side existing applications to supplement rather than replace

The Verasis CVA/DVA module is a ‘Monte Carlo through time’ solution to these and many other applications. It combines risk and trading tools that will provide you with:

  • The calculation of the capital requirement for Credit Risk
  • The ability to calculate and isolate the CVA and DVA cost attributable to a trade
  • CVA analytics, both in absolute amounts and concentration levels
  • Online, intra-day ‘what-if’ impact analysis
  • Full Collateral / CSA functionality for CVA mitigation / offset
  • A solution that satisfies the requirements of the Front Office, the Credit Risk team and the regulatory / capital reporting requirements