Calculation of Exposures and Derived Quantities 

Utilizing our most advanced numerical schemes, the UnRisk xVA MODULE can simulate exposures and calculating derived quantities like CVA and DVA. All risk factors of a portfolio are simulated together to create market scenarios - all instruments of a portfolio are evaluated under these scenarios to obtain the exposures. In the aggregation process, netting can be applied, and a variety of key ratios are calculated taken into account probabilities of default for the counterparty and the institution. The xVA MODULE is an extension to UnRisk QUANT and the UnRisk FACTORY.

Key Benefits and Key Features

    • Broad Coverage of risk Factors

    • Multi risk factor scenario generation

    • Fast instrument evaluation for each market scenario

    • Aggregation on netting set and portfolio level

    • Collaterals with triggers

    • PFE, CVA, DVA, EE, NEE, …

UnRisk xVA MODULE

Licensing/Requirements

Licensing

Licensing is based on the underlying configuration of UnRisk QUANT or UnRisk FACTORY.

Here you can find the license agreement.


UnRisk xVA MODULE requires

  • UnRisk QUANT or UnRisk FACTORY

 

Learn more about UnRisk xVA MODULE in our Factsheet

Download Factsheet

 

Pricing

Standard licenses are annual licenses. Perpetual licenses are available upon request. Please contact sales for further information.

 

Try out the UnRisk xVA MODULE!

Please contact UnRisk Support to obtain your temporary UnRisk xVA MODULE license file.

Full as well as evaluation licenses are subject to the acceptance of the license agreement.  If you do not agree to be bound to the license agreement, do not download an evaluation copy.