»Value-oriented pricing and valuation goes hand in hand with the adjustment of internal processes: We help you to adjust in your derivative operations.«

Roland Probst, Partner LPA

xVA

We help you to put your derivatives operations on a sound financial footing: economically, in compliance with the regulations, and tailored to your business model.

Our services for xVA at a glance

Holistic concepts for your derivatives operations

In the wake of the financial crisis, counterparty risks in the derivatives business came under increasing scrutiny, and this manifested itself – among other things – in the introduction of the CVA risk capital charge. In addition to the financial considerations arising from CVA/DVA under IFRS 13, the issue of economic recoverability of derivatives operations in the context of risk and capital also came under the spotlight. Indeed, credit value adjustment alone appears in three distinct dimensions in the debate: on a regulatory, financial, and an economic level.

Ultimately, it is a matter of developing and operating (in processes, systems, and the organisation) a holistic approach to valuation adjustments. It is a question of implementing the various valuation dimensions – whether cleared, collateralised or unsecured – consistently, and then discussing risk mitigation techniques. We can help put your derivatives operations on a firm footing within your institution so that they remain recoverable in the long term.

Our focus areas for valuation adjustments:

  • Valuation and analysis of simple and complex derivatives or portfolios
  • xVA pricing (CVA, DVA, FVA, KVA, MVA & ColVA)
  • Adhering to regulatory requirements (e.g. EMIR initial margin or ISDA SIMM; SA-CCR; CVA risk capital charge)
  • Management of risks, exposures and capital
  • Procedural implementation and management incentives
  • IT infrastructure

We can support you in such projects as:

  • Creation or optimisation of xVA desks and competence centres
  • Further development or validation of quantitative models
  • System selection
  • Design and implementation of functional and IT specifications
  • Analysis and valuation of specific positions or portfolios, e.g. when restructuring CSAs

LPA-Solutions for
xVA

Would you like to know more?

We will be happy to advise you.

Case Studies for
xVA

Here you can find exemplary project solutions where our consulting and software solutions led to business success.

Christian Behm
Christian Behm
Your partner for
Risk & Quant Consulting

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Christian Behm
Christian Behm
Your partner for
Risk & Quant Consulting
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