CVA/DVA

The counterparty risk is known to have an important impact on a portfolio. LexiFi Apropos evaluates this risk and its components precisely and rapidly, so that one can concentrate on results and immediately benefit from a complete and intuitive view of them.

This feature is helpful to effortlessly fulfill regulatory requirements or to sense the portfolio exposure.

Compare the portfolio risky price and the portfolio risk free price as well as the internal portfolio risky price and the counterparty portoflio risky price.

The Credit Valuation Adjustment (CVA) and the Debt Valuation Adjustment (DVA) are computed with a strategy based on two strong major points:

  • An algebra analysis : solve American features and create sub-contract for each computation date
  • A pricing engine : use a Monte-Carlo method and a numerical integration

LexiFi Apropos includes graphical charts to facilitate the understanding of the results. Both the positive and the negative expected exposures are visually represented, as well as the internal default probability and the counterparty default probability.

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Figure 1: Chart of positive expected exposure at a per-product level

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