FRTB, SA-CVA and Basel 3.1
Go-live is not the finish line. Will your FRTB batch finish overnight, at a cost you accept?
Go-live fixes the deadline, not the compute. A free speed-up estimate shows, with numbers, where the time and the grid cost go and what it takes to fix them: SA sensitivities, SA-CVA, IMA expected shortfall, P&L attribution, on your grid, in your code.
2×one valuation: as little as that buys every sensitivity with XAD's tape; up to 3× faster than one plain valuation with code generation
270×faster sensitivities than bumping, Monte Carlo CVA, measured on QuantLib
What you get
- Measurements of the sensitivities batch on your hardware
- A quantified roadmap: what to change, expected gain per change, effort
- Where AAD with XAD replaces bumping, and the gain
- A plan for steady-state running and for the UK internal-models step in 2028
Then a fixed price for the AAD enablement build with XAD, and an annual XAD subscription that keeps the batch inside the overnight run as the rules and the book grow.