Numerix XVA Real-time Counterparty Credit Risk

®

•CounterpartyexposuremeasuressuchasPFE,EE,EPE,&ENE

•XVApricingadjustments–CVA,DVA,FVA&otherXVAs

•Real-timecalculations&incrementalmeasuresforpre-tradedecisionsupport

•Regulatory&accountingcompliance,includingBaselIII

•CVAtrading&hedging

NUMERIX XVA—COUNTERPARTY CREDIT RISK

Whether seeking to meet Basel II and III or other regulatory requirements,

hedging or actively trading your CVA positions, Numerix provides the award

winning, cross-asset class risk analytics you need to manage your counterparty

risk across the institution.

Numerix XVA gives users the ability to calculate, analyze and limit exposures

across business units and minimize capital charges for Basel III compliance,

with fast and accurate PFE, CVA/DVA and FVA calculations, using an accelerated

Monte Carlo simulation engine.

“ In choosing Numerix CVA, we received the best performing methods for each instrument category and a reliable, flexible CVA solution, that above all else was easy to use.”

— Head of Risk Methods & Valuation, pbb Deutsche Pfandbriefbank

Numerix XVA enables users to:•Calculatecounterpartyriskmeasures—

CVA/DVA,PFE,EE,EPE,ENE–plusFVAandotherXVApricingadjustments

•Analyze“whatif”tradestoseeincrementalCVAfordifferentcounterparties

•Monitorexposurelimitsoftraders,checkinglimitutilizationandsendingalertswhenlimitsarebreached

•“Sliceanddice”calculationresultsinreal-timetocreatecustomreportsandgraphicallyvisualizetheresults

•Determinecollateralvaluesandinitialmarginrequirements,tooptimizecollateralusage

•Complywithaccountingandregulatoryrequirements,includingBaselIII

•TradeandhedgeCVA

NUMERIX XVA CAPABILITIES

ViewallCVA/DVAmeasuresbycounterparty,anddrilldowntotrade-leveldetailbyclickingonameasure.

Pivot View

Drill-through Blotter

NUMERIX XVA BENEFITS

Real-time results for fast trading and risk decisions•Risk-adjustedpre-tradepricing

•“What-if”tradeswithpre-tradeincrementalCVA/DVA

•Calculationscanbedistributedtoagridorcloudformaximumperformance

Optimize counterparty choices and reduce counterparty risk•Pre-tradedecisionsupporttoolsassistwith

counterpartychoice

•Exposurelimitmonitoringandalerts

•CVAsensitivitiesforCVAdynamichedging

Transparency and flexibility•XVAscriptingtodefineandcustomize

XVAmeasures

•CSAscriptingtodefineallCSAterms

•In-memorypivottablesforinteractiveslicing&dicingofresults

•One-clickdrilldownintoresultstoviewtrade-leveldetails

Fast time-to-market for new trade types•Handleanytradetype,existingorimagined

•DealwithcomplexnewCSAsusingCSAscripting

•Manageriskofnewdealtypesandcapturemarketopportunitiesfasterthancompetitors

Pivot View

Visualizeresultsingraphsorinteractivepivottables.

NUMERIX XVA FEATURES

•UnilateralorbilateralCVA/DVAwithdealprice,dealaging,collateralpostingandnettingagreements

•Scenarioanalysisandstresstestingtoseeimpactofdifferentmarketconditionsonexposureprofilesandcounterpartyriskmeasures

•Scalableserverarchitecturecanhandlemillionsoftrades

•Importtrade,marketandreferencedatafrommultipletradingandrisksystems

•Flexibleanalyticsplatformallowsforeasyintegrationofnewtradetypes(includingexotics)andcustomizationofpricingmodels,curvesandcalibration

•Consistentmodelcalibrationforbothmarketscenariosanddealprices

•Web-based,easy-to-useinterfaceisavailableonanybrowserordevice

AnalyzeunilateralandbilateralCVAandDVAaswellasotherXVAssuchasFVA.

Pivot View

THE NUMERIX DIFFERENCE

Real-time counterparty risk measures, instead of end-of-day calculations•AmericanMonteCarloengineisthemost

effectivecalculationapproachforCVAofnonlinearinstruments

•Calculationscanbedistributedtoagridorcloudforreal-timeperformance

Agile “future proof” platform is adaptable to future changes in the market and regulations•Collateralscriptingcandefineeventhemost

complexCSAterms

•XVAscriptingenablescustomizationofXVAmeasurestobeincludedincomputations

•In-memorypivottablesallowforreal-timecustomizationofreports

•Flexibleanalyticsplatformfacilitatestheeasyadditionofnewtradetypes

Market-proven, industry leading analytics•Hybridmodelcapturesallcorrelationsamong

underlyingriskfactorsacrossassetclasses,whichisimportantforexposurecalculations

•NumerixisapioneerinAmericanMonteCarloandourmethodiswidelyusedbyclients

Pre-trade decision support tools assist in choosing optimal counterparties and profitable trades•Create“what-if”tradestodetermine

incrementalCVA/DVAofproposedtrades,tochoosethebestcounterpartytotradewith

•XVAadjustmentsintegratedintopre-tradepricessotraderscanexecuteonlyprofitabletrades

XVAscriptingandcollateralscriptingcapabilitiesprovideflexibilityinadaptingtomarketorregulatorychanges

Discoverwhytheworld’sleadingbanksandcapitalmarketfirmsuseNumerixXVAforcounterpartyriskmanagement:

THE MOST ADVANCED ANALYTICS IN THE INDUSTRY

Leading the Industry in Advanced Models and Methods

TheNumerixCrossAssetlibrary,whichpowersNumerixXVA’scalculations,offerstheindustry’smostcomprehensivecollectionofmodelsandmethods.Thisallowsinstitutionstopriceanyconceivableinstrumentusingthemostadvancedcalculations,inadditiontoawiderangeofcalibrationoptionsforgeneratingmarket-consistentvaluations.

Cross-Asset Class Coverage & Full TransparencyClientscanpriceinstrumentsacrossallassetclasses,including:fixedincome/rates,inflation,credit,equity,FX,commodities,volatility,lifeandhybrids—alongwithfulltransparencyintopricingmodelassumptionsandnumericalmethods.

Advanced Hybrid ModelOuruniquehybridmodelframeworkenablestheproductionofconsistentscenariosforlargenumbersofriskfactors,whichiscriticaltoproducingrobustCVAcalculationsforlargeportfolios.Italsocapturesallcorrelationsamongunderlyingriskfactorsacrossassetclasses.

Fast Monte Carlo SimulationsNumerix’sAmericanMonteCarloengineusesthesamesetofpathsforbothmarketscenariosandprices,eliminatingtheneedfora‘MonteCarlo-on-MonteCarlo’computation,makingreal-timeCVAcomputationspossible.Itistheonlycomputationallyeffectivemethodforexoticinstruments,andthemosteffectivemethodfornon-linearvanillainstruments.

The Numerix Hybrid Model Framework: Unifying All Asset Classes

Uniquehybridmodelframeworkallowsuserstoselectdesiredmodelsbasedonunderlyings,andusethemasbuildingblocksforthehybridmodel.

Copyright © 2015 Numerix LLC. All rights reserved. Numerix, the Numerix logo, and CrossAsset are either registered trademarks, or trademarks, of Numerix LLC in the United States and/or other countries.

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